Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects
Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects
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流动利润和股票回报的月末评估：月度和一月效应的常见解释
DOI：
10.1111/j.1540-6261.1990.tb02435.x
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发表时间：
1990
影响因子：
8
通讯作者：
Joseph P. Ogden
中科院分区：
文献类型：
--
作者：
Joseph P. Ogden
本文提出并检验了一个假设，即美国在每个日历月之交的支付标准化通常会导致每个日历月之交的股票回报率飙升。该假说还断言，12月之后的回报率通常会更高，并将与货币政策的紧缩程度成反比。使用1969-86年股票指数收益率的实证结果支持这一假设。这一分析解释了先前记录的股票收益的月度效应，并部分解释了1月效应。版权所有1990年美国金融协会。
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 1969-86 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. Copyright 1990 by American Finance Association.
影响因子：
8.2
作者：
Lakonishok, Josef;Smidt, Seymour
通讯作者：
Smidt, Seymour