Closing the Question on the Continuation of Turn-of-the-Month Effects: Evidence from the S&P 500 Index Futures Contract

Maberly, Edwin D.; Waggoner, Daniel F.
August 2000
Working Paper Series (Federal Reserve Bank of Atlanta);Aug2000, Vol. 2000 Issue 11, preceeding page p1
Working Paper
Working Paper
Examines the Standard & Poor's 500 futures contract for evidence that turn-of-the-month (TOTM) effects have continued. Transactions costs for index futures; Benefits of the absence of short-sale restrictions on index futures; Relationship of change in the preference of individual investors over time the disappearance of the TOTM effect.


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