Monday effect in Fama-French's RMW factor

Fama and French's (2015) RMW (robust-minus-weak) profitability factor is likely to attract debate on whether it captures a behavioral mispricing or a rationally-priced risk. An interesting piece of empirical support for this argument comes from the strong Monday effect in the RMW factor: 94% (135%) of the reward to RMW factor accrues on Mondays (Monday-Tuesdays). That is, the RMW premium is essentially a Monday (or 'early-in-the-week') effect, which may reflect a 'sound mind' processing of information, over a weekend trading break, to recognize 'value'. The weekday pattern in RMW remains robust over time (uniquely), and is a pervasive characteristic of 'value'.