A Monthly Effect in Stock Returns

By Robert Ariel. 2015

358 citations recorded by the source corpus.

Abstract The mean return for stocks is positive only for days immediately before and during the first half of calendar months, and indistinguishable from zero for days during the last half of the month. This ‘monthly effect’ is independent of other known calendar anomalies such as the January effect documented by others and appears to be caused by a shift in the mean of the distribution of returns from days in the first half of the month relative to days in the last half.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/edd6600a37d7df009f6563eb65865f514cf62b8f

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In Economics and Econometrics

Citations in the corpus

How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013, background): “…calendar anomalies, including the January effect, the day-of-the-week effect (French (1980), Gibbons and Hess (1981)), the turn-of-the-month effect (Ariel (1987), Lakonishok and Smidt (1988)), the 1st-half-of-the-month effect (Ariel (1987)), the holiday effect (Ariel (1990)), and seasonality…”
Automated trading with performance weighted random forests and seasonality (2014, background): “In more detail, turn-of-the-month effects were first documented by Ariel (1987) who found that the return for the latter half of the average month is negative and that positive returns occur in the first part of the month. This result was further explored by Lakonishok and Smidt (1988). Using a 90-y”
Nonlinear Dynamics and Stock Returns (2021, background): “Anomalies have been detected at annual (Rozeff and Kinney 1976), monthly (Ariel 1987), and weekly (French 1980) frequencies.”