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New evidence on turn-of-the-month effects

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  • Sharma, Susan Sunila
  • Narayan, Paresh Kumar

Abstract

In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence that the TOM affects returns and return volatility of firms. The effects are, however, different for different firms and are dependent on the sectoral location of firms and on firm sizes. These findings imply that the TOM has a heterogeneous effect on firm returns and firm return volatility.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 29 (2014)
Issue (Month): C ()
Pages: 92-108

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Handle: RePEc:eee:intfin:v:29:y:2014:i:c:p:92-108

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Web page: http://www.elsevier.com/locate/intfin

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Keywords: Firm returns; Volatility; Sector; Heterogeneous; Turn-of-the-month;

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