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.



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