U.S. Stock Market End-of-Quarter Effect

Does the U.S. stock market have a predictable pattern of returns around ends of calendar quarters? Do funds deploy cash to bid stocks up at quarter ends to boost portfolio values in quarterly reports (with subsequent reversals)? Or, do they sell stocks to raise cash for fund redemptions? Is any end-of-quarter effect distinct from the Turn-of-the-Month (TOTM) effect? To investigate, we calculate average daily stock market (S&P 500 Index) returns before and after ends of calendar quarters and compare those returns to TOTM returns. Using daily closes of the S&P 500 Index during January 1928 through mid-December 2022, we find that: (more…)