A Month-by-Month Examination of Long-Term Stock Returns

This study provides a month-by-month examination of stock returns. The results reconfirm the January Effect as well as indicate a powerful anomaly in September. Investing in the CRSP equal-weighted index in only January turns $1 in 1926 to $87.40 by 2006. The second closest month is July, during which $1 grows to $3.11. September is a poor month to invest. The $1 invested in only September decreases to a mere $0.49. The Halloween Effect vanishes once the monthly anomalies are controlled for. The September Effect is also established in four out of the five international markets tested