 Revising the turn-of-the-month effect study: why does it fade and reappear? Practical policy implications and thoughts for further researchEvangelos Vasileiou International Journal of Banking, Accounting and Finance, 2017, vol. 8, issue 2, 146-173 Abstract: The purpose of this paper is to examine in detail the turn-of-the-month (TOM) effect and to offer a detailed explanation for the controversial empirical findings that have been documented in the literature. Using data from the US stock market, the results suggest that the TOM effect is significantly influenced by: 1) the definitely-selected TOM time span; 2) the capitalisation; 3) the econometric modelling; 4) the applied mean equation; 5) the examined time period; 6) the financial trend. Moreover, the empirical findings suggest that when the TOM returns are positive and statistically significant, there is a positively growing financial trend, while when the non-turn-of-the-month (NTOM) days are negative and statistically significant coincide with a financial crisis (or negative financial trend). The latter results could pave the way for further TOM studies which would examine whether the TOM period could be an indicator of the upcoming financial conditions. Keywords: calendar anomalies; turn-of-the-month effect; efficient market hypothesis; US stock market; size effect. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:injbaf:v:8:y:2017:i:2:p:146-173 Access Statistics for this article More articles in International Journal of Banking, Accounting and Finance from Inderscience Enterprises Ltd |
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