Seasonality in Daily Bond Returns

Jordan, Susan D.; Jordan, Bradford D.

doi:10.2307/2331269

Cited by 86 publications

(52 citation statements)

References 25 publications

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“…In addition, the evidence provides support for both the window dressing and preferred 1 For example, the turn-of-the-month effect has been documented in domestic stock markets (Ariel 1987), REIT stocks (Redman, Manakyan and Liano 1997) and bond markets (Jordan and Jordan 1991). 2 International evidence for the turn-of-the-month effect has been discovered in Italy (Barone 1990), Japan (Ziemba 1991), the UK (Ziemba 1994), Finland (Martikainen et al 1995), Australia, Canada, Germany and Switzerland (Cadsby and Ratner 1992).…”

mentioning

confidence: 78%

Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs

Wiley

Zumpano

2008

J Real Estate Finan Econ

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confidence: 78%

Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs

Wiley

Zumpano

2008

J Real Estate Finan Econ

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“…Our analysis is similar in spirit to the analysis carried out by Jordan and Jordan (1991) Table 5 gives turn-of-the-month returns and returns for all other days for bills and bonds. The results are, at best, ambiguous.…”

Section: Bill and Bond Returnsmentioning

confidence: 97%

Equity Returns at the Turn of the Month

McConnell

2008

Financial Analysts Journal

105

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The turn-of-the-month effect in U.S. equities is found to be so powerful in the (L&S 1988) appear to have been the first to document a turn-of-themonth effect in equity returns, with the turn of the month beginning on the last trading day of the month and ending on the third trading day of the following month. Using the Dow Jones Industrial Average, they found that the four days at the turn of the month accounted for all of the positive return to the DJIA in the 90-year period of 1897-1986. Specifically, in this period, the average cumulative return over the four-day turn of the month was 0.473 percent whereas for the full month, the average cumulative return was 0.349 percent, indicating that returns were, on average, negative over the remaining days of the month. Because the turnof-the-month effect was not their primary concern, L&S did not explore this pattern in depth.We took up the task of examining the turn-ofthe-month effect in detail in the study reported here. For the U.S. market, we used CRSP daily returns for the 80-year period of 1926-2005. As Schwert (2003 noted, return patterns that appear during a particular time period often disappear once they have been discovered or, upon closer scrutiny, turn out not to have existed to begin with. Therefore, and given that the L&S study ends with 1986, an obvious starting point for our analysis was the 19-year period that has transpired since the end of the period they examined. We found that the pattern in returns during the 1987-2005 period is remarkably similar to the pattern in the earlier period.Having established that the turn-of-the-month pattern has persisted in the U.S. equity market during the recent two decades, we turned to the more consequential task of investigating returns during the 80-year interval of 1926-2005 to determine whether the pattern is attributable to certain sets of stocks-small-capitalization or low-price stocks. We then carried out a variety of tests to determine whether the effect results primarily from returns at the turn of the year or at calendar quarterends, whether higher risk at the turn of the month can explain the pattern, and whether U.S. Treasury securities and corporate bonds exhibit a turn-ofthe-month pattern. In addition, we considered whether the volume of trade or the net flow of funds to equity mutual funds supports Ogden's (1990) hypothesis that the turn-of-the-month effect is caused by "regularity in payment" dates, which we call the "payday hypothesis."We also looked for a turn-of-the-month pattern in other countries for hints as to whether the pattern is universal or results from some peculiarity in the U.S. trading structure. As we show, the turn-of-themonth effect is not confined to the United States. Prior StudiesWe are not the first to expand upon the L&S study. Nearly contemporaneous with L&S was a study by examining several calendaryear effects, including the January, the holiday, and the day-of-the-week effects. They reported that the turn-of-the-month effect occurred in the 1897-1986 period. Hens...

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“…They range from stocks (Chang et al, 1993;Tong, 2000;Basher & Sadorsky, 2006); to bonds (Gibbons & Hess, 1981;Johnston et al, 1991;Jordan & Jordan, 1991); to exchange rates (McFarland et al, 1982;Hsieh, 1988); to commodities (Chiang & Tapley, 1983;Gay & Kim, 1987;Crain & Lee, 1996); to precious metals (Ball et al, 1982;Ma, 1986), in spot and futures markets in countries from around the world. There are sixteen studies which investigate the international evidence relating to stock indices.…”

Section: Introductionmentioning

confidence: 99%