Abstract
- A turn-of-the-month (TOM) pattern has been found in publicly traded securities returns in U.S. and foreign markets for many years and explanations for its persistence remains a puzzle. This is the first study to examine the market returns of US equity sector exchange traded funds (ETFs) to determine whether they also show the same turn-of-the-month pattern found in the stocks that ETFs are designed to track. Using both parametric and non-parametric tests to account for distributional factors in the data, we find a significant TOM pattern in the returns of U.S. equity sector ETFs by looking at the daily returns for nine SPDR sector ETFs from 2000-2019. Specifically, the average daily return during the six-day window around the turn-of-the-month is 3.42 times the average daily return during the entire month and this pattern appears in all nine sector ETFs.