Equity Returns at the Turn of the Month

Posted: 14 Sep 2008 Last revised: 24 Sep 2008

See all articles by John J. McConnell

John J. McConnell

Purdue University

Wei Xu

Mathematica Capital Management, LLC

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The turn-of-the-month effect in U.S. equities is found to be so powerful in the 1926-2005 period that, on average, investors received no reward for bearing market risk except at turns of the month. The effect is not confined to small-capitalization or low-price stocks, to calendar year-ends or quarter-ends, or to the United States: This study finds that it occurs in 31 of the 35 countries examined. Furthermore, it is not caused by month-end buying pressure as measured by trading volume or net flows to equity funds. This persistent peculiarity in returns remains a puzzle in search of an answer.

Keywords: Portfolio Management, Equity Strategies, Equity Investments, Fundamental Analysis and Valuation Models

Suggested Citation

McConnell, John J. and Xu, Wei, Equity Returns at the Turn of the Month. Financial Analysts Journal, Vol. 64, No. 2, 2008, Available at SSRN: https://ssrn.com/abstract=1135217

John J. McConnell (Contact Author)

Purdue University ( email )

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Wei Xu

Mathematica Capital Management, LLC ( email )

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Sausalito, CA 94965
United States

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