Multifactor Explanations of CAPM Anomalies: An Evidence for Indian Stock Market

By lowering interest rates (i.e. expansionary monetary policy) in front of stock prices decline, the balance sheet channel has a neutral effect on the transmission mechanism

Thus, the reported differences in mean returns across weekdays (the weekend effect) seem to be due, at least to a certain extent, to a strong level of autocorrelation on Monday

i) The price level (inverse of average price) has a negative effect on resiliency, especially in cross-section analysis. This indicates that lower tick-size leads to more

 The day of the week effect on the stock market returns (both intraday and interday) incorporating conditional daily market risk factor..