Fama and French's (2015) RMW (robust-minus-weak) profitability factor is likely to attract debate on whether it captures a behavioral mispricing or a rationally-priced risk. An interesting piece of empirical support for this argument comes from the strong Monday effect in the RMW factor: 94%...
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We devise a test of the external validity of the weekend sound-mind effect hypothesis: the short-term reversal factor, which is profitable within its holding period but leads to larger losses subsequently, exhibits a significant negative Monday effect, as predicted by this hypothesis. Mondays buck...