Nikkinen, Jussi; Sahlström, Petri; Äijö, Janne - In: Journal of Futures Markets 27 (2007) 2, pp. 105-126
This study provides a new and economically plausible explanation for turn‐of‐the‐month and intramonth anomalies. It is suggested that these anomalies arise from clustered information, namely from important macroeconomic news announcements, which are released systematically at a certain...