Turn‐of‐Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects
提出并检验了一个假说：美国每月末的标准化支付导致月末股票回报激增，且12月后回报更高、与货币政策紧缩程度负相关。1969-1986年数据支持该假说，为月度效应和一月效应提供了解释。
ABSTRACT This paper presents and tests a hypothesis that the standardization of payments in the United States at the turn of each calendar month generally induces a surge in stock returns at the turn of each calendar month. The hypothesis also asserts that returns generally will be greater following the month of December and will vary inversely with the stringency of monetary policy. Empirical results using stock index returns for 1969–1986 support the hypothesis. This analysis provides an explanation for the previously documented monthly effect in stock returns and a partial explanation for the January effect.