The turn-of-the-month effect still lives: the international evidence

By Robert A. Kunkel, William S. Compton, Scott Beyer. 2003

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/382d097bd477091b8406093abb1de9f0f9db023c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. W. Marquering
2. Johan Nisser
3. T. Valla

In Finance

1. W. Marquering
2. Johan Nisser
3. T. Valla

Citations in the corpus

• Disappearing anomalies: a dynamic analysis of the persistence of anomalies (2006, methodology): “To the best of our knowledge, the first academic publication on the holiday effect is by Lakonishok and Smidt (1988). They find, using DJIA returns from 1897 to 1986, that the pre-holiday return is on average 0.22%, which is 23 times the return of the average day in their sample. The pre-holiday ret”
• The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model (2014, unknown): “On the other hand, the lowest median returns are presented in Greece, followed by China and Taiwan”