New evidence on turn-of-the-month effects

Journal of International Financial Markets, Institutions and Money

Volumn 29, Issue 1, 2014, Pages 92-108

  Sharma, Susan Sunila ^a   Narayan, Paresh Kumar ^a  

^a DEAKIN UNIVERSITY   (Australia)

Author keywords

Firm returns; Heterogeneous; Sector; Turn of the month; Volatility

Indexed keywords

EID: 84891314190     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2013.12.002     Document Type: Article

References (39)

1. Ariel R.A. A monthly effect in stock returns. Journal of Financial Economics 1987, 18:161-174.
2. Barone E. The Italian stock market: efficiency and calendar anomalies. Journal of Banking and Finance 1990, 14:483-510.
3. Beltratti A. Capital market equilibrium with externalities, production and heterogeneous agents. Journal of Banking and Finance 2005, 29:3061-3073.
4. Bollerslev T. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 1986, 307-327.
5. Boni L., Womack K.L. Analysts, industries, and price momentum. Journal of Financial and Quantitative Analysis 2006, 41:85-109.
6. Booth G.G., Kallunki J-P., Martikainen T. Liquidity and the turn-of-the-month effect: evidence from Finland. Journal of International Financial Markets, Institutions and Money 2001, 11:137-146.
7. Cadsby C.B., Ratner M. Turn-of-the-month and pre-holiday effects on stock returns: some international evidence. Journal of Banking and Finance 1992, 16:497-509.
8. Chordia T., Goyal A., Tong Q. Pairwise Correlations 2011, http://ssrn.com/abstract=1785390.
9. Chordia T., Roll R., Subrahmanyam A. Market liquidity and trading activity. Journal of Finance 2001, LVI:501-530.
10. Chou P-H., Ho P-H., Ko K-C. Do industries matter in explaining stock returns and asset-pricing anomalies?. Journal of Banking and Finance 2012, 36:355-370.
11. Edwards W. Conservatism in human information processing. Formal Representation of Human Judgement 1968, John Wiley & Sons, New York. B. Kleinmutz (Ed.).
12. Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation. Econometrica 1982, 50:987-1008.
13. Froot K., Scharfstein D., Stein J. Risk management: coordinating corporate investment and financing policies. Journal of Finance 1993, 48:1629-1657.
14. Hanson S.G., Pesaran M.H., Schuermann T. Firm heterogeneity and credit risk diversification. Journal of Empirical Finance 2008, 15:583-612.
15. Hensel C.R., Ziemba W.T. Investment results from exploiting turn-of-the-month effects. Journal of Portfolio Management 1996, 22:17-23.
16. Holden K., Thompson J., Ruangrit Y. The Asian crisis and calendar effects on stock returns in Thailand. European Journal of Operational Research 2005, 163:242-252.
17. Hong H., Stein J.C. A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance 1999, 54:2143-2184.
18. Hong H., Torous W., Valkanov R. Do industries lead stock markets?. Journal of Financial Economics 2007, 83:367-396.
19. Hou K., Robinson D.T. Industry concentration and average stock returns. Journal of Finance 2006, LXI:1927-1956.
20. Jones C., Lamont O., Lumsdaine R. Macroeconomic news and bond market volatility. Journal of Financial Economics 1998, 47:315-337.
21. Kunkel R.A., Compton W.S. A tax-free exploitation of the turn-of-the-month effect: C.R.E.F. Financial Services Review 1998, 7:11-23.
22. Lakonishok J., Smidt S. Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies 1988, 1:403-425.
23. Lamont O.A. Economic tracking portfolios. Journal of Econometrics 2001, 105:161-184.
24. Levy T., Yagil J. The week-of-the-year effect: evidence from around the globe. Journal of Banking and Finance 2012, 36:1963-1974.
25. Merton R. A simple model of capital market equilibrium with incomplete information. Journal of Finance 1987, 42:483-510.
26. McConnell J.J., Xu W. Equity returns at the turn of the month. Financial Analysts Journal 2008, 64:49-64.
27. Moeller S.B., Schlingemann F.P., Stulz R.M. Firm size and the gains from acquisitions. Journal of Financial Economics 2004, 73:201-228.
28. Narayan P.K., Sharma S. New evidence on oil price and firm returns. Journal of Banking and Finance 2011, 35:3253-3262.
29. Nikkinen J., Sahlstrom P., Aijo J. Turn-of-the-month and intraday effects: explanation from the important macroeconomic news announcements. The Journal of Futures Market 2007, 27:105-126.
30. Ogden J.P. Turn-of-Month evaluations of liquid profits and stock returns: a common explanation for the monthly and January effects. Journal of Finance 1990, 45:1259-1272.
31. Pennings J.M.E., Garcia P. Hedging behaviour in small and medium-sized enterprises: the role of unobserved heterogeneity. Journal of Banking and Finance 2004, 28:951-978.
32. Petersen M., Rajan R. The effect of credit market competition on firm-creditor relationships. Quarterly Journal of Economics 1995, 110:407-443.
33. Shiller R. Irrational Exuberance 2000, Bradway Books, New York.
34. Sims C. Rational inattention. Princeton University Working Paper 2001.
35. Thaler R. Seasonal movements in security prices II: weekend, holiday, turn of the month and intraday effects. Journal of Economic Perspectives 1987, 1:169-177.
36. Tsiakas I. The economic gains of trading stocks around holidays. Journal of Financial Research 2010, 33:1-26.
37. Vickery J. How and why do small firms manage interest rate risk?. Journal of Financial Economics 2008, 87:446-470.
38. Wang Z. Dynamics and causality in industry-specific volatility. Journal of Banking and Finance 2000, 34:1688-1699.
39. Zwergel B. On the exploitability of the turn-of-the-month effect-an international perspective. Applied Financial Economics 2010, 20:911-922.