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Global mutual fund market: the turn of the month effect and investment strategy

Author

Listed:
  • Tirthank Shah

    (Nirma University)

  • Narayan Baser

    (Pandit Deendayal Energy University)

Abstract

Turn of the month (TOM) is a widely recognized anomaly and studied majorly in the context with equity markets. However, the global mutual fund market has not been much exposed to empirical testing of the TOM anomaly and the implication thereof. This study has dual objectives of not only investigating if the TOM effect persists in the world of equity mutual funds but also proposing an investment strategy to exploit the TOM anomaly to mutual fund investors. The study examines 40 equity mutual funds across 6 different geographies and 2 multi-geographic segments. For the sample period of 15 years (2005–2020), crucially covering financial crisis as well as an outbreak of the Covid-19 pandemic this study confirms a statistically significant effect of TOM for 23 out of 40 funds. Based on findings, the paper proposes a staggered investment strategy to investors in mutual funds for entry and exit to exploit the TOM effect for return enhancement.

Suggested Citation

  • Tirthank Shah & Narayan Baser, 2022. "Global mutual fund market: the turn of the month effect and investment strategy," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 466-476, October.
    • Handle: RePEc:pal:assmgt:v:23:y:2022:i:6:d:10.1057_s41260-022-00282-0
    DOI: 10.1057/s41260-022-00282-0
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    References listed on IDEAS

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    More about this item

    Keywords

    Turn of the month; Mutual funds; Investment strategy; Calendar anomaly;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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