The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)

Lan Liu
2013 Journal of Business & Economics Research  
This paper investigates if theturn-of-the-month effect exists in the broad US equity market from January 2001to December 2011 and if applying the knowledge of the turn-of-the-montheffect to move the dates of investment without engaging active tradingstrategies can improve the investment performance during the same period oftime. We find that the turn-of-the-month effect still exists, but its occurrencehas moved to earlier dates. We also find that investment made on days beforethe
more » ... th performs better than those made during theturn-of-the-month. Simple time diversification strategy of spreading investmentthroughout the month, which doesnt require a perfect foresight, is also foundto generate a better performance.
doi:10.19030/jber.v11i6.7888 fatcat:xdxcjwrmbfg4xluvxdlzgv7omm