Abstract
In recent years, a number of researchers have observed three types of time-related regularities in stock market returns-the so-called January effect, the day-of-the-week effect and the effect.' Several hypotheses have been advanced to explain these regularities in stock returns, but none has received general acceptance. This note examines the month-end effect in Canada and shows that the month-end pattern in aggregate security returns results from regularities in the returns of large firms. We find no such monthly pattern in trading volumes and conclude that the month-end effect is a valuation effect. Because both the U.S. and Canadian results show almost identical patterns, we examine potential links between the monthly return pattern and patterns in corporate announcements.
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