argue that the small-firm effect is really a neglected-stock effect
neglected-stocks are defined as those stocks which do not have a large number of analysts following them and are not owned by a large number of institutional investor.
regardless of how returns are generated, one would not expect the returns for mondays to be less than the returns for the other 4 days of the weeks
as it turns out. the returns for Mondays have not only been less than those for the other 4 days of the week, but Monday returns have actually been negative