Researcher who documented the monthly effect
Robert A. Ariel
Robert A. Ariel was a doctoral candidate at MIT's Sloan School of Management when his study of within-month return patterns circulated as a 1984 MIT working paper. It was published as 'A Monthly Effect in Stock Returns' in the Journal of Financial Economics in 1987. He later published 'High Stock Returns before Holidays' in the Journal of Finance (1990).
What they argue
- In CRSP index returns for 1963–1981, the market's whole cumulative advance came in the first half of the month, starting with the last trading day of the previous month. Second-half returns averaged about zero.
- Stocks earn unusually high returns on the trading day before a holiday. In 1963–82 more than a third of the market's annual gain came on eight pre-holiday days.
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Books and papers
- A Monthly Effect in Stock Returns, Journal of Financial Economics 18(1): 161–174 (1987)
- High Stock Returns before Holidays: Existence and Evidence on Possible Causes, Journal of Finance 45(5): 1611–1626 (1990)
Turn-of-the-month effect
Rule and full recordCalendar · daily · with Josef Lakonishok & Seymour Smidt
Returns bunch up around the start of each month. Hold for four trading days: the last day of a month and the first three of the next.
Best risk-adjusted results against buy and hold:
Pre-holiday effect (the trading day before NYSE holidays)
Rule and full recordCalendar · daily · with Josef Lakonishok & Seymour Smidt
Own the stock only on the last trading day before each stock-market holiday, a day that has historically paid many times the average daily return.
Best risk-adjusted results against buy and hold: