Tax-free trading on calendar stock and bond market patterns

William Compton () and Robert Kunkel ()

Journal of Economics and Finance, 2000, vol. 24, issue 1, 64-76

Abstract: This study investigates the feasibility of using individual retirement accounts to exploit well-known calendar anomalies in the financial markets. We find no evidence of either a January effect or a weekend effect which may imply that investors have traded them out of existence. However, we find a significant turn-of-the-month effect in both stocks and bonds and show that investors may be able to enhance the performance of their retirement portfolios. We demonstrate that investors using a turn-of-the-month switching strategy would have outperformed a buy-and-hold strategy in stocks or bonds. Finally, our results have policy implications for investment companies. Copyright Springer 2000

Date: 2000
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DOI: 10.1007/BF02759696

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