Turn-of-month evaluations of liquid profits and stock returns: a common explanation for the monthly and January effects

Article 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. (Reprinted by permission of the publisher.)

Research, Prices and rates, Stocks, Monetary policy, Stock prices, Stock price forecasting

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Toward a national market system for U.S. exchangeulisted equity options

Article Abstract:

The Securities and Exchange Commission has reintroduced the 'option market' in national market system. A study analyzing the actively traded, multiply listed equity options and examining consistency in market characteristics with efficient transactions, is presented.

United States, Analysis, Options (Finance), Powers and duties, United States. Securities and Exchange Commission, Equity (Finance)

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Similar abstracts:

• Abstracts: Predicting stock returns in an efficient market. Earnings announcements, stock price adjustment, and the existence of option markets

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