Table 3 Turn-of-the-month returns for...

Table 3

Turn-of-the-month returns for various calendar categories

TOM [–1, +3]	ROM [–1, +3]	Diff.	TOM [–1, +1]	ROM [–1, +1]	Diff.
Panel A.1: returns for the TOY only
0.855^*** (3.09)	0.040 (0.20)	0.815^** (2.34)	1.275^*** (6.24)	0.067 (0.31)	1.208^*** (3.62)
Panel A.2: returns excluding the TOY
0.193^*** (2.79)	−0.047 (−1.49)	0.240^*** (3.25)	0.362^*** (4.27)	−0.044 (−1.44)	0.406^*** (4.66)
Panel B.1: returns for the TOQ only
0.108 (0.58)	0.069 (0.95)	0.039 (0.19)	0.303 (1.34)	0.037 (0.56)	0.266 (1.13)
Panel B.2: returns excluding the TOQ
0.279^*** (3.82)	−0.076^* (−1.78)	0.355^*** (4.20)	0.469^*** (5.45)	−0.058 (−1.38)	0.527^*** (5.50)
Panel C.1: returns for the MSCI IR TOM only
0.176 (1.64)	−0.042 (−0.90)	0.219^** (2.16)	0.345^** (2.21)	−0.039 (−0.90)	0.383^*** (3.05)
Panel C.2: returns excluding the MSCI IR TOM
0.275^*** (3.27)	−0.030 (−0.66)	0.305^*** (3.39)	0.483^*** (5.29)	−0.024 (−0.54)	0.507^*** (5.37)

TOM [–1, +3]	ROM [–1, +3]	Diff.	TOM [–1, +1]	ROM [–1, +1]	Diff.
Panel A.1: returns for the TOY only
0.855^*** (3.09)	0.040 (0.20)	0.815^** (2.34)	1.275^*** (6.24)	0.067 (0.31)	1.208^*** (3.62)
Panel A.2: returns excluding the TOY
0.193^*** (2.79)	−0.047 (−1.49)	0.240^*** (3.25)	0.362^*** (4.27)	−0.044 (−1.44)	0.406^*** (4.66)
Panel B.1: returns for the TOQ only
0.108 (0.58)	0.069 (0.95)	0.039 (0.19)	0.303 (1.34)	0.037 (0.56)	0.266 (1.13)
Panel B.2: returns excluding the TOQ
0.279^*** (3.82)	−0.076^* (−1.78)	0.355^*** (4.20)	0.469^*** (5.45)	−0.058 (−1.38)	0.527^*** (5.50)
Panel C.1: returns for the MSCI IR TOM only
0.176 (1.64)	−0.042 (−0.90)	0.219^** (2.16)	0.345^** (2.21)	−0.039 (−0.90)	0.383^*** (3.05)
Panel C.2: returns excluding the MSCI IR TOM
0.275^*** (3.27)	−0.030 (−0.66)	0.305^*** (3.39)	0.483^*** (5.29)	−0.024 (−0.54)	0.507^*** (5.37)

Note(s): This table reports daily value-weighted average returns at the turn of the month and rest days for various calendar categories. Panels A.1 gives returns for the turn of the year (TOY) only. Panels A.2 gives returns for all turns-of-the-month excluding the TOY. Panels B.1 gives returns for the turn of the quarter (TOQ) only. Panels B.2 give returns for turns-of-the-month that are not the TOQ. Panels C.1 gives returns for the MSCI index rebalancing (IR) turn of the month only. Panels C.2 gives returns for all turns-of-the-month excluding the IR TOM. 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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