A MONTHLY EFFECT IN STOCK RETURNS: REVISITED

This paper examines whether the monthly effect continues to exist in the CRSP equallyweighted and value-weighted stock market indices. I also examine for the monthly effect in the TSX/S&P Composite index. More recent evidence indicates that the monthly anomaly has weakened in the CRSP equally-weighted and value-weighted indices but a turn-of-month effect has appeared. I also find the turn-of-the month effect in the TSX/S&P Composite index for time period 1977-2002. These conclusions indicate that a trading strategy could be developed by switching between the stock market index and a cash bearing account during the turn-of-themonth in the U.S. and Canadian marketplace.