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Turn-of-the-Month Effect Persistence and Robustness

January 23, 2018 • Posted in Calendar Effects

Is the Turn-of-the-Month (TOTM) effect, a concentration of relatively strong┬ástock market returns around the turns of calendar months, persistent over time and robust to different market conditions. Does it exist for all calendar months? Does it persist throughout the U.S. political cycle? Does it work for different indexes? To investigate, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total of eight trading days, centered on the monthly close). Using daily closes for the S&P 500 Index┬áduring January 1950 through December 2017 (816 TOTMs) and for the Russell 2000 Index during September 1987 through December 2017 (364 TOTMs), we find that: (more…)

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