Monthly effects in aggregate and disaggegate stock returns

This paper examines the turn-of-the-month (TOM) and the first-half-of-the-month (FH) effects on aggregate and disaggregate stock returns in the United States. We employ an OLS regression model with a dummy variable to investigate significance of both monthly effects. We find that both monthly effects exist in the CRSP value-and equally-weighted market indexes and in value- and equally-weighted disaggregate portfolios sorted by industry, size, book-to-market equity, size and book-to-market equity. In addition, we observe that when the size of a firm increases, the monthly effects weaken in both aggregate and disaggregate stock returns. The relationship between the monthly effects and the book-to-market ratio is mixed depending on the size of a firm.