Stats › Tradeable patterns › Turn of the month

Four days a month paid 16x every other day, until 2001

Turn of month, equal-weighted: 0.23%0.23%Turn of month, equal-weightedTurn of month, value-weighted: 0.16%0.16%Turn of month, value-weightedOther days, equal-weighted: 0.05%0.05%Other days, equal-weightedOther days, value-weighted: 0.01%0.01%Other days, value-weighted

Source: John J. McConnell and Wei Xu, Equity Returns at the Turn of the Month, Financial Analysts Journal volume 64 issue 2, 2008, pages 49 to 64. CRSP indices, 1926 to 2005. The t-statistic on the value-weighted difference is 8.06 and on the equal-weighted difference is 9.23. For the 1987 to 2005 subperiod alone the value-weighted figures are 0.15% against -0.001% with t = 3.78, and equal-weighted 0.25% against 0.05% with t = 6.01, so the effect was still there in the two decades before the paper was written.

The last trading day of a month and the first three of the next returned 0.16% a day against 0.01% for every other day, over eighty years. In US stocks that stopped after 2001. In Treasuries it is still measurable.

0.16%Turn of month, per day
0.01%Every other day
8.06t statistic
31 of 35Countries with the effect

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