The Turn-of-the-Month Effect
July 20, 2006 - Calendar Effects
Do stock prices move systematically at the turn of calendar months? In the July 2006 draft of their paper entitled “Equity Returns at the Turn of the Month”, Wei Xu and John McConnell examine equity returns from the beginning the last trading day of one month through the first three trading days of the next month. Using daily returns for a broad range of stocks across exchanges over the period 1926-2005 (with focus on the segment 1987-2005), they conclude that: Keep Reading