  This study examines the presence of the day-of-the-week effect on daily
returns of biotechnology stocks over a 16-year period from January 2002 to
December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI),
we find that the stock returns were the lowest on Mondays, and compared to the
Mondays the stock returns were significantly higher on Wednesdays, Thursdays,
and Fridays. Moreover, the results from using the asymmetric GARCH processes
reveal that momentum and small-firm effect were positively associated with the
market risk-adjusted returns of the biotechnology stocks during this period.
The findings of our study suggest that active portfolio managers need to
consider the day of the week, momentum, and small-firm effect when making
trading decisions for biotechnology stocks.

Statistical Finance;Economics