Turn-of-month and pre-holiday effects on stock returns: Some international evidence

Cadsby, Charles Bram; Ratner, Mitchell

doi:10.1016/0378-4266(92)90041-w

Cited by 240 publications

(151 citation statements)

References 24 publications

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“…Usually, in the proximity of Christmas and Easter Sunday, many investors go in holidays and the stock markets' activity declines [13,21,26,47,52]. Some circumstances specific to the end of the year could also affect the stock markets behavior [23,29]. Kamstra et al [45] identified a significant impact of the SAD cycle on the stock markets.…”

Section: Discussionmentioning

confidence: 99%

The Behavior of Stock Prices during Lent and Advent

Dumitriu¹,

Ştefanescu²

2017

The International Conference "The Risk in Contemporary Economy" (Dunarea De Jos University. Faculty of Economics)

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Section: Discussionmentioning

confidence: 99%

The Behavior of Stock Prices during Lent and Advent

Dumitriu¹,

Ştefanescu²

2017

The International Conference "The Risk in Contemporary Economy" (Dunarea De Jos University. Faculty of Economics)

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“…Ariel (1987) examined Dow Jones and provided the evidence that days around the turnof-the month exhibit high rates of return. Cadsby & Ratner, (1992) found turn-of-the-month effect evident in European, Canadian, US and emerging markets. Hensel & Ziemba (1996) found TOM effects for S&P 500, in a study carried out for daily returns between 1928-1993.…”

Section: Introductionmentioning

confidence: 90%

“…Similarly, in case of examining TOM effect (Equation 2) the dummy variable accounts for the excess return for the TOM period with null hypothesis of zero difference in returns between TOM and ROM period (Lakonishok & Smidt, 1988;Cadsby & Ratner, 1992). Table 1, below reflects the descriptive statistics of monthly returns.…”

Section: Methodsmentioning

confidence: 99%

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Evidence of Monthly Anomalies in Pakistan Stock Exchange

Shamshir

Baig

Mustafa

2016

ABR

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The study is an extended effort to investigate the monthly anomalies across Pakistani stock market, on four stock indices of Pakistan stock exchange by using the data from previously known as Karachi stock exchange for the period from January 01, 2009 to August 31, 2014. The study is a unique attempt of its kind to include all four indices for exploring turn-of-the-month and month-ofthe-year effects with special consideration of tax-loss-selling hypothesis for the month of July for conventional January effect. Evidences of turn-of-the-month effect were found in indices except for KSE-30 and KMI-30 index. The study also found significant January returns evident in all four indices; however the effect cannot be contributed to tax-loss-selling hypothesis. Optimistic attitudes towards the year ahead and liquidity preference seem to be related with the heavy buying. July effect is found to exist in the market which may be contributed to tax-loss-selling hypothesis. Although, KSE-30 and KMI-30 indices were found to demonstrate atypical results as compared to the rest of the indices, yet it is concluded that stock market of Pakistan is not devoid of monthly anomalies.

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“…One of the calendar anomalies observed on the financial markets are: a) Turn-of-the month effect-average rate of return calculated for the last day of the month and for three days of the next month, was higher than the average rate of return computed for the month, for which the rate of return of only one session, was taken (Cadsby & Ratner, 1992). Lakonishok and Smidt (1988) found that the four days at the turn-of-the-month averaged a cumulative rate of increase of 0,473% versus 0,0612% for and average four days.…”

Section: Introductionmentioning

confidence: 99%

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Borowski¹

2015

IJEF

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The problem of efficiency of financial markets has always been one of the most important, including, among others, calendar effects. The sell-in-May-and-go-away (also called Halloween) effect is worth considering from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the sell-in-May-and-go-away strategy and its modifications on the market of 122 equity indices and 39 commodities in the eight approaches, depending on the investment time horizon (October-15 th May, November-15 th May, October-1 st May, November-1 st May) and types of computed rates of return (accrued rates of return and average daily geometric rates of return). Calculations presented in this paper indicate the presence of the sell-in-May-and-go-away effect on the analyzed markets in the classic time frame, as well as in the different time frames.

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Turn-of-month and pre-holiday effects on stock returns: Some international evidence

Cited by 240 publications

References 24 publications

The Behavior of Stock Prices during Lent and Advent

The Behavior of Stock Prices during Lent and Advent

Evidence of Monthly Anomalies in Pakistan Stock Exchange

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

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