I don't think you'd come out ahead, unless you think that Mondays have a high probability of a big crash for whatever reason. I'm pretty sure the mean/average numbers are being strongly influenced by a few really bad Mondays. Throw those out and the whole effect goes away, probably. Like I said, you'd really want median numbers, not mean, to make a decision.

-Walt

No, I don't think the data is due to a few bad Mondays. Going to the original paper...

A surprising feature of stock returns is the existence of what is called the weekend effect, another return phenomenon that has persisted over extraordinary long periods and over a number of international markets. It refers to the differences in returns between Mondays and other days of the week.

The returns on Mondays are significantly negative, whereas the returns on every day of the week are not. In addition, returns on Mondays are negative more often than returns on any other trading day. There are a number of other findings on the Monday effect that researchers have fleshed out.

- The Monday effect is really a weekend effect since the bulk of the negative returns are manifested in the Friday close to Monday open returns. In other words, the negative returns on Monday are generated by the fact that stocks tend to open lower on Mondays than from what happens during the day. The returns from intraday returns on Monday (the price changes from open to close on Monday) are not the culprits in creating the negative returns.

- The Monday effect is worse for small stocks than for larger stocks. This mirrors our findings on the January effect.

- The Monday effect is no worse following three-day weekends than two-day weekends.

- Monday returns are more likely to be negative if the returns on the previous Friday were negative. In fact, Monday returns are, on average, positive following positive Friday returns, and are negative 80% of the time following negative Friday returns.[

From the graph in the "Weekend Effect" section of the paper we can discern the following (numbers eyeballed):

- Monday has a positive return on 43% of days. It has an average daily return of -0.12%

- Tuesday has a positive return on 51% of days. It has an average daily return of 0.04%

- Wednesday has a positive return on 54% of days. It has an average daily return of 0.11%

- Thursday has a positive return on 51% of days. It has an average daily return of 0.05%

- Friday has a positive return on 53% of days. It has an average daily return of 0.1%

Here is an updated version:

So, I do think it is significant...but, you'd need access to historical data and "bo_knows" level information access/skills to quantify the difference between investing thousands of dollars every other Monday instead of every other Friday over say 5 years.