publication . Thesis . 2010

THE TURN OF THE MONTH EFFECT CONTINUED: A COMPARISON OF SMALL CAP STOCKS AND LARGE CAP STOCKS

Ramsundhar, Shamman;
Open Access English
  • Published: 02 Sep 2010
  • Country: Canada
Abstract
The purpose of this paper is to investigate whether the turn of the month effect occurs in small cap and large cap stocks and if it occurs in both categories, to determine whether there is a difference in the magnitude. My research, for the period of 1963-2008, based on the CRSP value weighted index, shows that there is a significant turn of the month effect in small and large cap stocks, however the effect is larger in small cap stocks. Furthermore, this effect is not limited to a short time period, instead it is persistent. While a number of explanations have been put forward for why this phenomenon exists, there has been no satisfactory explanation yet.
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23 references, page 1 of 2

Nineteen year Cumulative Returns (1963-1981).........................4

of the month (1897-1986), in percent..........................................5

of the month, 1926-2005.............................................................7

International Turn of Month Effects (%).......................................9

Definitions relating to the monthly phenomenon........................13

Index - various averages in %)..................................................16

Index - various averages in %)..................................................17

Returns of various categories of stocks (1963-1981,

1982-2008 and 1982-2008).......................................................19

0.025%; 1963-2003: First Half: 0.077%, LH: -0.002%). On the other hand, for the

0.051%; 1963-2003: First Half: 0.139%, Last Half: 0.021%). Pham defines the

3.58 and for the period of 1963-2008, t = 5.05. For the period of 1963-81, the

0.108 and the intercept is 0.029 and for the period of 1963-2008 the slope is

Ariel, Robert A., 1987, A monthly effect in stock returns. Journal of Financial Economics 18, 161-174 [OpenAIRE]

Cadsby, C and Ratner, M., 1992, Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking and Finance 16, 497-509

23 references, page 1 of 2
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