Abstract
ABSTRACTOgden (1990) offers a compelling explanation for the ubiquitous turn-of-the-month (TOM) seasonality. He hypothesizes and shows that the clustering of payment dates at the end of the month results in a stock return regularity that is related to increased liquidity and monetary policy. This article introduces investor behaviour into Ogden’s TOM liquidity hypothesis where higher TOM returns depend not only on the availability of increased liquidity but also on investors’ willingness to invest new funds. The empirical evidence is consistent with the argument. When confidence is high, investors’ willingness to invest the increased liquidity results in a TOM regularity. But when confidence is low, a TOM regularity is absent as investors park the increased liquidity. This additional measure of investor confidence provides a more complete explanation of Ogden’s liquidity hypothesis.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.