Time-of-month anomaly: reality or mirage?
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.
Volume (Year): 10 (2003)
Issue (Month): 12 ()
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- 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.
- 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.
- 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.
- Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
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