Abstract Despite significant research efforts, the cause of the variation of equity returns across weekdays remains a matter of debate. A recent explanation of this phenomenon depends on psychological factors. The “Blue Monday” hypothesis, states that the weekday effect results from shifts in investor portfolios resulting from variations in investor optimism across the week. This study tests the “Blue Monday” hypothesis with an experiment consistent of two paired investment simulations in which investors divide their wealth among seven securities over several investment rounds. In each paired simulation, portfolio choices of investors during a Monday trial are compared to choices of similar investors subjected to an identitical series of returns on Friday. Consistent with the “Blue Monday” hypothesis, Monday's participants invested a significantly lower proportion of their wealth in the securities with the highest level of risk and a significantly higher proportion of their wealth in Treasury-bills.