Equity Returns at the Turn of the Month
We investigate the turn-of-the-month effect in U.S. equities using CRSP daily returns for the period 1926-2005. The effect is powerful over the full period and over the recent two decades such that,on average,investors receive no reward for bearing market risk except at turns-of-themonth. The effect is not confined to small or low-price stocks,to calendar year-ends or quarterends,or to the U.S. Further it is not due to month-end buying pressure as measured by trading volume and net flows to equity funds. This persistent peculiarity in returns poses a challenge to models of asset pricing.
John J.McConnell Wei Xu
Purdue University
国际会议
成都
英文
2007-07-09(万方平台首次上网日期,不代表论文的发表时间)