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New evidence on turn-of-the-month effects

Susan Sharma and Paresh Narayan (pareshkumar.narayan@monash.edu)

Journal of International Financial Markets, Institutions and Money, 2014, vol. 29, issue C, 92-108

Abstract: In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence that the TOM affects returns and return volatility of firms. The effects are, however, different for different firms and are dependent on the sectoral location of firms and on firm sizes. These findings imply that the TOM has a heterogeneous effect on firm returns and firm return volatility.

Keywords: Firm returns; Volatility; Sector; Heterogeneous; Turn-of-the-month (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:29:y:2014:i:c:p:92-108

DOI: 10.1016/j.intfin.2013.12.002

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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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