<p>We examined the presence of January effect in international stock returns for the recent time period, January 1997 to December 2014.  Our results provide conclusive evidence that January effect no longer exists in stock returns during recent years.  These results were remarkably consistent when we investigated existence of January effect by sub-periods separating the time period of 2008-09 when stock market largely plummeted internationally.  The results of this study support growing literature that indicates January effect does not exist anymore in stock returns.  <strong></strong></p>

This paper documents a new 'time-of-the-month' pattern in the daily returns of the Standard & Poor's and the NASDAQ indices. Splitting a month into three time segments, the results show that the returns are highest during the 'first third', experience a drop during the 'second third', and are lowest, and in most cases negative, during the 'last third' of a month. This pattern remained remarkably consistent for the two indices examined. It also held up well over business cycles and many different subperiods tested. Thus, the results of this study provide convincing evidence of a new monthly anomaly which displays a remarkable degree of robustness.

We find two distinct calendar effects in returns for the Indian stock market. More specifically, we find a November-December effect in which we document that mean returns for November and December are significantly greater than those of the other ten months. We also identify a March-to-May effect in which mean returns for the months March to May are significantly less than those during the other nine months. We further demonstrate that these are two distinct effects that are independent of each other.

Using the Merrill Lynch daily junk bond index, we re-examine and extend previous junk bond return results. We include the effect of business cycles on junk and investment-grade bonds, the sensitivity of junk bond returns to economic activity and/or interest rates, and sample periods that allow us to investigate periods of reduced junk bond liquidity. Daily data confirm the same curious return behavior identified in studies using monthly returns. However, we reveal for the first time that junk bond returns track the movement of interest rates during economically good times but track stock returns during bad times.

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