A monthly effect in stock returns: Revisited

Author: 
Date created: 
2005
Abstract: 

This paper examines whether the monthly effect continues to exist in the CRSP equallyweighted and value-weighted stock market indices. I also examine for the monthly effect in the TSX/S&P Composite index. More recent evidence indicates that the monthly anomaly has weakened in the CRSP equally-weighted and value-weighted indices but a turn-of-month effect has appeared. I also find the turn-of-the month effect in the TSX/S&P Composite index for time period 1977-2002. These conclusions indicate that a trading strategy could be developed by switching between the stock market index and a cash bearing account during the turn-of-themonth in the U.S. and Canadian marketplace.

Description: 
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Language: 
English
Document type: 
Thesis
Rights: 
Copyright remains with the author
File(s): 
Department: 
Faculty of Business Administration - Simon Fraser University
Thesis type: 
Research Project (M.B.A.)
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