91 0747–5535/03/1400 & 1500/0091/$2.00 Copyright University of Nebraska—Lincoln The Monday Effect: A Disaggregation Analysis J. Clay Singleton Rollins College John R. Wingender, Jr. Creighton University In this research we employ two statistical approaches not previously used to examine the Monday effect: exploratory data analysis and content analysis. While most previous Monday effect studies examine confirmatory analysis statistics (means and variances), exploratory data analysis employs counting and visual techniques to describe the empirical distributions of daily returns. The results indicate that Monday returns are highly affected by large, infrequent, negative outliers in both large and small cap stocks, regardless of the shift over time in the Monday effect for large cap stocks. Content analysis is used to investigate whether there are any micro or macro events newsworthy enough to be cited more often by the financial press (as reported in the Wall Street Journal) to explain these large, negative outlier Monday markets than are cited to explain the returns for other Mondays. Our results indicate that economic or psychological factors may be responsible for the Monday effect. This research points out new directions for researchers to consider when examining the causes of the Monday effect. Introduction Many researchers have documented that average stock returns on Mondays are statistically negative, while returns on other days of the week are positive. Some authors have reported that average Mondays used to be negative for large stocks and then recently changed to neutral or even positive. Most authors agree, however, that average negative Mondays persist in small stocks. At the same time, researchers have not offered a consistent and convincing explanation for this effect. In fact, almost every study offers a different explanation, as the articles in this issue attest. To date, however, no one has characterized the underlying distribution as we do or used the analytical techniques we present here. Our results are consistent with those of other researchers and demonstrate that the distribution of Monday returns shows evidence of negative outliers. That is, the