Calendar market anomalies: Turn-of-the-month effect (Excel)

Описание к видео Calendar market anomalies: Turn-of-the-month effect (Excel)

Many thanks to Aku for suggesting the topic for this video!

It has been widely documented that stock returns are substantially higher around the turn of the month. Is it indeed the case? Why such effects arise? And how one might identify such patterns themselves? Today we are investigating the Lakonishok and Smidt (1988) and Ariel (1987) approaches for turn-of-the-month effect and discussing potential reasons for such patterns manifesting themselves at stock markets.

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