The January and turn-of-the-month effect on firm returns and return volatility

In this paper, we test whether January and turn-of-the-month (TOM) affect firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence of both January and TOM affecting returns and return volatility of firms. The effects are, however, different for different firms and are dependent on the sectoral location of firms and on firm sizes. These findings imply that January and TOM have an heterogeneous effect on firm returns and firm return volatility.