THE TURN OF THE MONTH EFFECT CONTINUED: A COMPARISON OF SMALL CAP STOCKS AND LARGE CAP STOCKS

The purpose of this paper is to investigate whether the turn of the month effect occurs in small cap and large cap stocks and if it occurs in both categories, to determine whether there is a difference in the magnitude. My research, for the period of 1963-2008, based on the CRSP value weighted index, shows that there is a significant turn of the month effect in small and large cap stocks, however the effect is larger in small cap stocks. Furthermore, this effect is not limited to a short time period, instead it is persistent. While a number of explanations have been put forward for why this phenomenon exists, there has been no satisfactory explanation yet.