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Tax-free trading on calendar stock and bond market patterns

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  • William Compton
  • Robert Kunkel

Abstract

This study investigates the feasibility of using individual retirement accounts to exploit well-known calendar anomalies in the financial markets. We find no evidence of either a January effect or a weekend effect which may imply that investors have traded them out of existence. However, we find a significant turn-of-the-month effect in both stocks and bonds and show that investors may be able to enhance the performance of their retirement portfolios. We demonstrate that investors using a turn-of-the-month switching strategy would have outperformed a buy-and-hold strategy in stocks or bonds. Finally, our results have policy implications for investment companies. Copyright Springer 2000

Suggested Citation

  • William Compton & Robert Kunkel, 2000. "Tax-free trading on calendar stock and bond market patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(1), pages 64-76, March.
    • Handle: RePEc:spr:jecfin:v:24:y:2000:i:1:p:64-76
    DOI: 10.1007/BF02759696
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    References listed on IDEAS

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    Cited by:

    1. Nippani, Srinivas & Arize, Augustine C., 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, Elsevier, vol. 17(3), pages 157-171, August.
    2. Denis Boudreaux & Spuma Rao & Phillip Fuller, 2010. "An investigation of the weekend effect during different market orientations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 257-268, July.
    3. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.

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