Reversal of Monday returns: It is the afternoon that matters

This study dissects the well-known Monday return reversal by separating the Monday into a morning and afternoon period. So far, the literature on the Monday return reversal is limited to the analysis of daily, primarily market returns. Using a large cross-section of U.S. intraday stock return data from 2007 to 2022, we find that only Monday afternoon but not morning returns reverse over the rest of the week. The effect is stronger for larger firms and not explained by common risk factors or earnings announcements. It is mostly prevalent for those stocks for which investor disagreement is high on Monday.