The Day-of-the-Week Anomaly: The Role of Institutional Investors

Studies have suggested that individual investor behavior is the primary cause of the weekend effect. This examination of differences in the daily returns of securities held primarily by individual investors versus securities held by institutional investors indicates that institutional behavior is the primary source of day-of-the-week return differences. Day-of-the-week patterns in returns and volumes are more pronounced in securities in which institutional investors play a greater role.