Date of Graduation

5-2014

Document Type

Thesis

Degree Name

Bachelor of Science in Business Administration

Degree Level

Undergraduate

Department

Finance

Advisor

Rennie, Craig G.

Reader

Stamenov, Venstislav

Abstract

This paper seeks to research the turn-of-the-month anomaly in the stock market. Prior studies have covered the anomaly’s effect from 1962-2004. This study continues on the work of past research while also testing to find a shift backwards to the end of the month due to market timers anticipation of the anomaly. Empirical analysis is conducted using CRSP data of value and equal weighted market indexes along with historical returns of the S&P 500 from the Wharton Data Research Institute. Findings show that there is continued evidence of the anomaly in recent years (2005-2014), and there is subtle evidence of a shift backwards in the anomaly. Also, a passive strategy does provide different, yet not significant returns when attempting to pick a certain day of the month to make monthly contributions by leveraging this anomaly.

Share

COinS