Table 2 Turn-of-the-month returns by...

Table 2

Turn-of-the-month returns by firm size

	TOM [–1, +3]	ROM [–1, +3]	Diff.	TOM [–1, +1]	ROM [–1, +1]	Diff.
Small	0.319^*** (5.02)	0.062^* (1.77)	0.256^*** (3.53)	0.327^*** (4.39)	0.089^*** (2.64)	0.238^*** (2.91)
Medium	0.293^*** (4.29)	−0.029 (−0.75)	0.322^*** (4.11)	0.372^*** (4.74)	−0.003 (−0.07)	0.374^*** (4.33)
Big	0.242^*** (3.43)	−0.060 (−1.63)	0.302^*** (3.80)	0.468^*** (5.52)	−0.051 (−1.40)	0.519^*** (5.62)
Small – Big	0.077 (1.24)	0.122^*** (2.40)	−0.046 (−0.48)	−0.141 (−1.25)	0.140^*** (2.82)	−0.281^** (−2.57)

	TOM [–1, +3]	ROM [–1, +3]	Diff.	TOM [–1, +1]	ROM [–1, +1]	Diff.
Small	0.319^*** (5.02)	0.062^* (1.77)	0.256^*** (3.53)	0.327^*** (4.39)	0.089^*** (2.64)	0.238^*** (2.91)
Medium	0.293^*** (4.29)	−0.029 (−0.75)	0.322^*** (4.11)	0.372^*** (4.74)	−0.003 (−0.07)	0.374^*** (4.33)
Big	0.242^*** (3.43)	−0.060 (−1.63)	0.302^*** (3.80)	0.468^*** (5.52)	−0.051 (−1.40)	0.519^*** (5.62)
Small – Big	0.077 (1.24)	0.122^*** (2.40)	−0.046 (−0.48)	−0.141 (−1.25)	0.140^*** (2.82)	−0.281^** (−2.57)

Note(s): This table reports returns at the turn of the month and the rest days, for firm size tertiles. t-statistics are in parentheses. ^*, ^** and ^*** indicate significance at the 10%, 5%, and 1% levels, respectively. The sample period is from 2000 to 2020

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