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Time-of-month anomaly: reality or mirage?


  • C. B. Cadsby
  • V. Torbey


This article asks two questions concerning the robustness of Kohers and Patel's (1999) time-of-month pattern. First, does it appear in other countries, or is it unique to US markets? Second, is it independent of the well-known turn-of-the-month anomaly, or merely a reflection of it? It finds that the time-of-month pattern is largely a mirage in the post-1980 period. For the USA, it disappears when turn-of-month days are removed from the sample. For three out of nine other countries in the sample, some elements of the time-of-month pattern remain once turn-of-month days are removed. However, two other countries exhibit significant effects in the opposite direction. Overall, these patterns do not add up to a consistent and robust international anomaly.

Suggested Citation

  • C. B. Cadsby & V. Torbey, 2003. "Time-of-month anomaly: reality or mirage?," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 741-745.
  • Handle: RePEc:taf:apeclt:v:10:y:2003:i:12:p:741-745
    DOI: 10.1080/1350485032000129584

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    References listed on IDEAS

    1. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
    2. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    3. Theodor Kohers & Jayen Patel, 1999. "A new time-of-the-month anomaly in stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 6(2), pages 115-120.
    4. Cadsby, B. & Torbey, V., 2001. "Does the Timing of Cash Dividend and Interest Payments on Securities Explain the Presence of Turn-of-Month Effects on Stock Markets Internationally?," Working Papers 2001-3, University of Guelph, Department of Economics and Finance.
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    Cited by:

    1. Chandra, Abhijeet, 2009. "Stock Market Anomalies: A Calender Effect in BSE-Sensex," MPRA Paper 21290, University Library of Munich, Germany, revised 06 Oct 2009.

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