Monday and Tuesday don’t seem to carry a sizable edge. Monday’s total return was actually negative prior to 2008 when it posted a gain of over 6%. Also notable is that the Monday AFTER Thanksgiving’s stats were skewed a bit by the 2008 results. Last year saw a drop of over 8% on that day. Even excluding 2008 there is a bit of a bearish edge apparent on the Monday following Thanksgiving.
Wednesday and Friday surrounding Thanksgiving have been the most consistent and bullish days of the period.