Weakness and Day-of-Week

I just submitted an article that should appear Monday AM on the Trading Markets site. This one looked at two-day declines of more than one percent and the returns expectable as a function of day-of-the-week. The bottom line was that, since 2003, Mondays, Tuesdays, and Fridays returned much better results than Wednesday and Thursday. Indeed, the latter two days barely were profitable. What was most interesting was that I obtained these exact same results from S&P 500 data going back to 1995. It is very difficult to believe that this is pure chance--occurring as it does over independent data samples going back over a decade--yet it is difficult to explain why certain days should perform differently from others. Would we see similar findings for market rises? For other time frames? Clearly this is an area that warrants further investigation. For what it's worth, weakness early in the week is particularly associated with reversals; weakness at the end of Wednesday or Thursday is not. Buying weakness at the end of Monday has worked particularly well since 2003. I will be following up on my personal site.