The week-of-the-month effect in stock returns: The evidence from the S&P Composite Index
- 9 Downloads
Theweekend effect and theyearend effect are some of the seasonal anomalies in financial markets that have been widely discussed in the finance literature. In this paper, using weekly observations of the S&P Composite Index over the period from July 1962 through June 1990, plus several subperiods, the authors identify the presence of a thus far unknown seasonal anomaly in the form of aweek-of-the-month return pattern in the stock market. The results suggest the existence of a statistically different weekly return pattern for different weeks of a month. Specifically, the returns during the first week of a month tend to be significantly positive while the returns during the other weeks of a month are statistically indistinguishable from zero.
KeywordsStock Market Stock Return Abnormal Return Composite Index Financial Economic
- Kohers, Theodor, andRaj K. Kohli. “The Anomalous Stock Market Behavior of Large Firms in January: The Evidence from the S&P Composite and Component Indexes.”Quarterly Journal of Business and Economics 30, no. 3 (Summer 1991): 14–32.Google Scholar
- —. “Vas ist das? The Turn of the Year Effect and Return Premia of Small Firms.”Journal of Portfolio Management 9 (Winter 1983): 18–28.Google Scholar
- Standard & Poor’s Security Price Index Record. New York: Standard & Poor’s Corporation, various issues.Google Scholar