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2007 returns by day of week

Another interesting blog post from Brett Steenbarger is 2007 Stock Market Returns by Day of Week:

When you think about the timing of economic reports, including Fed announcements, not all days are created equal. That raises the possibility of seeing different patterns of returns as a function of day of week.

Above we see 2007 returns in the cash Dow Jones Industrial Average as a function of day of week. Wednesday produced far and away the largest point gains, much of which was retraced on Thursday.

Interestingly, simply buying stocks at the close on Tuesday and selling at the close on Wednesday accounted for all of the market's gains for 2007--and then some. My look at the data suggests that this is not because returns were more volatile on Wednesdays. Rather, more of the big point days were winners on Wednesday than on other days.
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