Big Gain on Last Day of Down Month, from Kim Zussman
SPY (2000-present) was checked for instances when the last day of the month was up more than 1%, while the 20 day return to the end of the month was down (including the up last day). Then, what was the return for the next day (first day of new month), and the next 5 days (first 5 days of the new month).
Here are the results:
One-Sample T: last DOM+, prior 20 day ret-, 1OM, 5OM
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI
last DOM+ 14 0.016441 0.008813 0.002355 ( 0.011353, 0.021530)
prior 20 day ret 14 -0.043020 0.032422 0.008665 (-0.061740, -0.024300)
1OM 14 -0.007521 0.025683 0.006864 (-0.022350, 0.007308)
5OM 14 -0.019825 0.041358 0.011053 (-0.043704, 0.004055)
Variable T P
last DOM+ 6.98 0.000
prior 20 day ret -4.96 0.000
1OM -1.10 0.293
5OM -1.79 0.096
There were 14 down months with big up last days. The mean last day of month return was +1.6%, and the mean down month return was -4.3%. The next day and 5 day periods were negative, with the 5 day about -2% (both NS)