El cambio de mes es la zona con mejores retornos:
Today I’m going to look at the Turn of the month effect: the tendency for stock prices to rise around the turns of calendar months.
This effect was first noticed by Lakonishok and Smidt(1988) who pointed out that most of the historical equity returns occurred during the four day period from the last trading day of the month through to the third trading day of the new month. Other researchers have since noticed that the last three trading days of the month also produce abnormal returns.
A recent paper by Rinne, Suominen and Vaittinen shows that since 1926 if we had been in the market in only the seven trading days around the turn of the month we would have made as much money as a buy-and-hold strategy with only 50% as much volatility. Figure One summarizes these results.
Figure One: Cumulative returns (US value weighted stock index) for the turn of the month period (blue) and the rest of the month (orange).
There is also a good reason for this effect. A disproportionate amount of monthly payments take place at the end of the month. These include dividends, pensions and mutual fund distributions. This means that approaching the end of the month stocks are liquidated to make these payments, then money is re-invested in the market by the recipients of the cash. Consistent with this idea are the poor returns from eight days before month end until four days before.
The effect is also present in other developed markets but not in emerging markets. This may be because those countries have different payment cycles.
Finally, this seems like an effect that could persist or even get stronger.