Abstract

This short note examines the month-of-the-year effect in Australian daily returns using a regression-based approach. The results indicate that marketwide returns are significantly higher in April, July and December combined with evidence of a small cap effect with systematically higher returns in January, August, and December. The analysis of the sub-market returns is also supportive of disparate month-of-the-year effects. However, only in the case of small cap firms and the telecoms industry do these coincide with the higher returns associated with the January effect as typified in work elsewhere.

Share

COinS
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.