Infrequent rebalancing, risk deferral, and equity returns at the turn of the month

Basit Öğe Kaydı
dc.authorid0000-0001-7441-8053
dc.contributor.authorKayaçetin, Nuri Volkanen_US
dc.date.accessioned2026-03-27T11:05:17Z
dc.date.available2026-03-27T11:05:17Z
dc.date.issued2026-03-13
dc.departmentIşık Üniversitesi, Mühendislik ve Doğa Bilimleri Fakültesi, Endüstri Mühendisliği Bölümüen_US
dc.departmentIşık University, Faculty of Engineering and Natural Sciences, Department of Industrial Engineeringen_US
dc.description.abstractWe examine equity returns at the turn of the month using return data from thirty countries over the thirty-year period from January 1, 1994, to December 31, 2023. Our analysis reveals that the mean daily return on trading days surrounding the end of the month is significantly larger at 10 bps across the markets examined as compared to 0 bps on other days, with a narrow window bracketing month-ends accounting for all or nearly all positive mean return in each of the countries examined. Linking this pattern to the interaction between slow moving institutional capital and market frictions, we provide evidence in line with the idea that the observed pattern might be sustained by a dual-channel mechanism. First, the effect appears to be amplified hierarchically due to overlapping rebalancing mandates, peaking at lower frequencies due to the synchronization of a larger number of rebalancing schedules. Second, and more importantly, the effect also seems to be conditioned by the deferral of risky investments to structured rebalancing nodes during periods of market distress. Consistent with this mechanism, its magnitude is significantly larger after periods of market turbulence and during recessions, when investors are likely to store more cash in safe assets. Our findings thus provide a robust economic framework for understanding the enduring presence of the turn-of-the-month effect, suggesting that it may emerge as a joint consequence of infrequent rebalancing and risk deferral.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationKayaçetin, N. V. (2026). Infrequent rebalancing, risk deferral, and equity returns at the turn of the month. Journal of International Financial Markets, Institutions and Money, 109, 1-25. doi:https://doi.org/10.1016/j.intfin.2026.102309en_US
dc.identifier.doi10.1016/j.intfin.2026.102309
dc.identifier.endpage25
dc.identifier.issn1042-4431
dc.identifier.issn1873-0612
dc.identifier.scopus2-s2.0-105032415071
dc.identifier.scopusqualityQ1
dc.identifier.startpage1
dc.identifier.urihttps://hdl.handle.net/11729/7186
dc.identifier.urihttps://doi.org/10.1016/j.intfin.2026.102309
dc.identifier.volume109
dc.identifier.wosWOS:001718200800001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakSocial Sciences Citation Index (SSCI)en_US
dc.institutionauthorKayaçetin, Nuri Volkanen_US
dc.institutionauthorid0000-0001-7441-8053
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherElsevier Ltden_US
dc.relation.ispartofJournal of International Financial Markets, Institutions and Moneyen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCalendar anomaliesen_US
dc.subjectInfrequent rebalancingen_US
dc.subjectInstitutional investorsen_US
dc.subjectInternational equity marketsen_US
dc.subjectMarket statesen_US
dc.subjectReturn seasonalityen_US
dc.subjectRisk deferralen_US
dc.subjectSlow moving capitalen_US
dc.subjectTurn-of-the-monthen_US
dc.subjectStock returnsen_US
dc.subjectMarket seasonalityen_US
dc.subjectOf-Monthen_US
dc.subjectAnomaliesen_US
dc.subjectBehavioren_US
dc.subjectInstitutionsen_US
dc.subjectJanuaryen_US
dc.subjectTestsen_US
dc.titleInfrequent rebalancing, risk deferral, and equity returns at the turn of the monthen_US
dc.typeArticleen_US
dspace.entity.typePublicationen_US

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
Infrequent_rebalancing_risk_deferral_and_equity_returns_at_the_turn_of_the_month.pdf
Boyut:
5.22 MB
Biçim:
Adobe Portable Document Format
İndir
Lisans paketi
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
license.txt
Boyut:
1.17 KB
Biçim:
Item-specific license agreed upon to submission
Açıklama:
İndir

Koleksiyon

Makale Koleksiyonu | Endüstri Mühendisliği Bölümü
Scopus İndeksli Yayınlar Koleksiyonu
WoS İndeksli Yayınlar Koleksiyonu