Theoretically speaking, we assume that markets are efficient and that investors should not be able to earn abnormal returns without privately held information. The fact that fund managers beat the market can simply be explained as luck. However, realistically speaking, the markets involve humans that do not always make rational decisions, which can lead to market inefficiencies. This paper looks into one such inefficiency which regards trading day of the week in the S&P 500 through three different forecasting periods coming before, during, and after the financial crisis of 2008. Theoretically we would expect to find no pattern or correlation regarding returns and trading day of the week. However, this paper found that Tuesday has higher forecasting errors than any other day of the week before, during, and after the crisis, which appears anything but random and therefore leads to the conclusion of a market inefficiency regarding trading day of the week in the S&P 500.
Rodenbarger, Z. J. (2012). Stock market efficiency in the S&P 500 with respect to day of the week. Lingnan Journal of Banking, Finance and Economics, 3. Retrieved from http://commons.ln.edu.hk/ljbfe/vol3/iss1/4