Abstract
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 lowest, and in most cases negative, during the ‘last third’ of a month. This pattern remained remarkably consistent for the two indices examined. It also held up well over business cycles and many different subperiods tested. Thus, the results of this study provide convincing evidence of a new monthly anomaly which displays a remarkable degree of robustness.