No. of Recommendations: 8
In case the link breaks (which is not unusual over time):
As with many published anomalies, the classical Turn-of-the-Month (TOM) effect, originally defined as the period from the last trading day of the month to three days after, appears to have largely disappeared in the past decade....
However, expanding the TOM window to include a broader seven-day period, spanning three days before to three days after the last trading day, reveals that the effect persists in a more nuanced form. This broader window, as argued by recent research, better captures the institutional liquidity-driven price impact that contributes to the TOM effect, including pre-month-end selling pressure and subsequent reversal and buying pressure. The effect remains particularly pronounced in international and emerging markets, which are typically less efficient and more susceptible to institutional flows....
Moreover, the lower drawdowns and improved skewness associated with TOM strategies could offer diversification benefits when incorporated into broader portfolios.
DB2
