New evidence on turn-of-the-month effects

Susan Sunila Sharma, Paresh Kumar Narayan

Research output: Contribution to journalArticleResearchpeer-review

31 Citations (Scopus)

Abstract

In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence that the TOM affects returns and return volatility of firms. The effects are, however, different for different firms and are dependent on the sectoral location of firms and on firm sizes. These findings imply that the TOM has a heterogeneous effect on firm returns and firm return volatility.

Original languageEnglish
Pages (from-to)92-108
Number of pages17
JournalJournal of International Financial Markets, Institutions and Money
Volume29
DOIs
Publication statusPublished - Mar 2014
Externally publishedYes

Keywords

  • Firm returns
  • Heterogeneous
  • Sector
  • Turn-of-the-month
  • Volatility

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