The Month-of-the-year Effect in the Australian Stock Market: A Short Technical Note on the Market, Industry and Firm Size Impacts

Abstract

This short note examines the month-of-the-year effect in Australian daily returns using a regression-basedapproach. The results indicate that marketwide returns are significantly higher in April, July and Decembercombined with evidence of a small cap effect with systematically higher returns in January, August, andDecember. 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 higherreturns associated with the January effect as typified in work elsewhere.This

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 23 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.