Kohers, Theodor; Patel, Jayen - In: Applied Economics Letters 6 (1999) 2, pp. 115-120
This paper documents a new 'time-of-the-month' pattern in the daily returns of the Standard & Poor's and the NASDAQ indices. Splitting a month into three time segments, the results show that the returns are highest during the 'first third', experience a drop during the 'second third', and are...