Behavioural Finance > Calendar Effects >

Intramonth Effects

Intramonth effects include the existence of positive returns only in the first half of the month, and more specifivally a turn-of-the-month effect where the last day of one month and the first three of the next are particularly high.

  • LAKONISHOK, Josef and Seymour SMIDT, 1988. Are seasonal anomalies real? A ninety-year perspective, The Review of Financial Studies, Vol. 1, No. 4. (Winter, 1988), pp. 403-425. [Cited by 161] (8.80/year)
    Abstract: "This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays."

  • ARIEL, Robert A., 1987. A monthly effect in stock returns, Journal of Financial Economics, Volume 18, Issue 1, March 1987, Pages 161-174. [Cited by 104] (4.66/year)
    Abstract: "The mean return for stocks is positive only for days immediately before and during the first half of calendar months, and indistinguishable from zero for days during the last half of the month. This ‘monthly effect’ is independent of other known calendar anomalies such as the January effect documented by others and appears to be caused by a shift in the mean of the distribution of returns from days in the first half of the month relative to days in the last half."

  • OGDEN, J.P., 1990. Turn-of-month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects, The Journal of Finance, Vol. 45, No. 4. (Sep., 1990), pp. 1259-1272. [Cited by 40] (2.45/year)
    Abstract: "This paper presents and tests a hypothesis that the standardization of payments in the United States at the turn of each calendar month generally induces a surge in stock returns at the turn of each calendar month. The hypothesis also asserts that returns generally will be greater following the month of December and will vary inversely with the stringency of monetary policy. Empirical results using stock index returns for 1969–1986 support the hypothesis. This analysis provides an explanation for the previously documented monthly effect in stock returns and a partial explanation for the January effect."

  • CADSBY, Charles Bram and Mitchell RATNER, 1992. Turn-of-month and pre-holiday effects on stock returns: Some international evidence, Journal of Banking & Finance, Volume 16, Issue 3, June 1992, Pages 497-509. [Cited by 34] (2.38/year)
    Abstract: "This study examines turn-of-month and pre-holiday effects on international markets. Turn-of-month effects are significant in Canada, the UK, Australia, Switzerland, and West Germany. Pre-holiday effects are significant in Canada, Japan, Hong Kong, and Australia. The absence of these effects in certain markets suggests that they originate from country-specific institutional practices. All countries exhibiting pre-holiday effects do so before local holidays; only Hong Kong does so before US holidays. This reinforces the conclusion that such anomalies are not generated solely by American institutions."

  • PENMAN, Stephen H., 1987. The distribution of earnings news over time and seasonalities in aggregate stock returns, Journal of Financial Economics, Volume 18, Issue 2, June 1987, Pages 199-228. [Cited by 37] (1.92/year)
    Abstract: "Over the past 55 years returns on stock market indexes have on average been higher during the first half-month of calendar quarters 2 through 4 than at other times. Coincidentally, aggregate corporate earnings news arriving at the market during these half-month periods tends to be good, whereas earnings reports arriving later are more likely to convey bad news. In addition firms tend to publish bad-news earnings reports on Mondays, coincident with negative Monday effects in stock returns. The coincidence of earnings news arrival and market seasonalities leads to conjectures about informational reasons for observed seasonalities."

  • HENSEL, Chris R. and William T. ZIEMBA, 1996. Investment results from exploiting turn-of-the-month effects (Digest Summary). Journal of Portfolio Management, Vol. 22, No. 3: (1996)17-23. [Cited by 13] (1.26/year)
    Abstract: "Previous research indicates that U.S. stocks experience substantial price increases during the turn-of-the-month period. Hensel and Ziemba provide additional evidence of this phenomenon and examine practical strategies to exploit the results. They show that after adjustment for risk, a strategy of being long in the S&P 500 Index during the turn-of-the-month period and long in Treasury bills at other times dominates the other strategies they considered, including a 100 percent allocation to small-capitalization stocks."

  • JAFFE, Jeffrey and Randolph WESTERFIELD, 1989. Is there a monthly effect in stock market returns? : Evidence from foreign countries Journal of Banking & Finance, Volume 13, Issue 2, May 1989, Pages 237-244. [Cited by 17] (0.98/year)
    Abstract: "In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ariel's work. However, we do find stronger evidence of a ‘last day of the month’ effect. In addition there is evidence of a country unique monthly pattern (i.e. one that is not consistent with the U.S. pattern)."

  • KUNKEL, Robert A., William S. COMPTON and Scott BEYER, 2003. The turn-of-the-month effect still lives. International Review of Financial Analysis, Volume 12, Issue 2, 2nd Quarter 2003, Pages 207-221. [Cited by 3] (0.91/year) Abstract: "This paper examines 19 country stock market indices for recent evidence of the turn-of-the-month (TOM) pattern in daily stock returns using both parametric and nonparametric measures to address concerns regarding methodologies applied in prior anomalies studies. We find that the 4-day TOM period accounts for 87% of the monthly return, on average, across countries, in the stock markets of 15 countries where the TOM pattern exists. These countries account for 77% of the foreign market capitalization value. The parametric and nonparametric results provide information regarding the degree to which distributional assumption violations may lead to incorrect conclusions."

  • REDMAN, A.L., H. MANAKYAN and K. LIANO, 1997. Real Estate Investment Trusts and Calendar Anomalies. Journal of Real Estate Research. [Cited by 8] (0.86/year)

  • ZIEMBA, W.T., 1991. Japanese Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week effects, Japan and the World Economy, 3, 119-46. [Cited by 11] (0.67/year)

  • KHAKSARI, S. and E.L. BUBNYS, 1992. Risk-Adjusted Day-of-the-Week, Day-of-the-Month, and Month-of-the-Year Effects on Stock Indexes and …. The Financial Review. [Cited by 7] (0.49/year)

  • GREENSTONE, M. and P. OYER, 2000. Are There Sectoral Anomalies Too? The Pitfalls of Unreported Multiple Hypothesis Testing and a …. Review of Quantitative Finance and Accounting. [Cited by 3] (0.48/year)

  • LIANO, K. and J.T. LINDLEY, 1995. An analysis of the weekend effect within the monthly effect. Review of Quantitative Finance and Accounting. [Cited by 5] (0.44/year)

  • ROSENBERG, M., 2004. The Monthly Effect in Stock Returns and Conditional Heteroscedasticity.. American Economist. [Cited by 1] (0.43/year)

  • BOOTH, G., J.P. KALLUNKI and T. MARTIKAINEN, 2001. Liquidity and the turn-of-the-month effect: evidence from Finland. Journal of International Financial Markets, Institutions and …. [Cited by 2] (0.38/year)
  • BOUDREAUX, D.O., 1995. The monthly effect in international stock markets: evidence and implications. Journal of Financial and Strategic Decisions. [Cited by 4] (0.35/year)
  • MARTIKAINEN, T., J. PERTTUNEN and V. PUTTONEN, 1995. Finnish Turn-of-the-Month Effects: Returns, Volume, and Implied Volatility. The Journal of Futures Markets. [Cited by 3] (0.27/year)
  • KUNKEL, R.A. and W.S. COMPTON, 1998. A Tax-Free Exploitation of the Turn-of-the-Month Effect: CREF. Financial Services Review. [Cited by 2] (0.24/year)
  • CHANG, E., 1988. “A Monthly Effect in Commodity Price Changes: A Note. Journal of Futures Markets. [Cited by 4] (0.22/year)
  • MARTIKAINEN, T., J. PERTTUNEN and W.T. ZIEMBA, 1994. The turn-of-the-month effect in the world's stock markets, January 1988-January 1990. Financial Markets and Portfolio Management. [Cited by 2] (0.16/year)
  • HENSEL, C.R., G.A. SICK and W.T. ZIEMBA, 1994. The turn-of-the-month effect in the futures markets, 1982-1992. Review of Futures Markets. [Cited by 1] (0.08/year)
  • MABERLY, E.D. and D.F. WAGGONER, 2000. Closing the Question on the Continuation of Turn-of-the-month Effects: Evidence from the S & P 500 index futures contract. Federal Reserve Bank of Atlanta. [not cited] (0/year)
  • MABERLY, E.D. and D.F. WAGGONER, 2000. Closing the Question on the Continuation of Turn-of-the-month Effects: Evidence from the S & P 500 …. [not cited] (0/year)