This paper evaluates the relation between two well-known anomalies in stock returns, viz, momentum and monthly effect. The monthly effect anomaly refers to the fact that stocks earn positive average returns only during the first half of the month and zero average returns during the second half....

This paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810-836) and Foster and Hart (Foster, D. P., S. Hart. 2009. An operational measure...