Reproducibility in Finance - 'Equity Returns at the Turn of the Month' Paper

Table of Contents

Introduction

Welcome to another post on reproducibility in finance literature! In this post, we’ll discuss the reproduced results of the paper “Equity Returns at the Turn of the Month"¹

Data

Most of the data used in the paper is sourced from CRSP.

Results

Figure 1. Average daily value-weighted and equal-weighted market returns for the last 10 trading days and the first 10 trading days of the month, 1926-1986

Original Paper Figure	Reproduced Figure

Figure 2. Average daily value-weighted and equal-weighted market returns for the last 10 trading days and the first 10 trading days of the month, 1987-2005

Original Paper Figure	Reproduced Figure

Figure 3. Average daily value-weighted and equal-weighted market returns for the last 10 trading days and the first 10 trading days of the month, 1926-2005

Original Paper Figure	Reproduced Figure

Figure 4. Daily volatility for value-weighted and equal-weighted U.S. stock market returns for the last 10 trading days and the first 10 trading days of the month, 1926-2005

Original Paper Figure	Reproduced Figure

Table 1: Daily Value-Weighted and Equal-Weighted U.S. Stock Market Returns at the Turn-of-the-Month, 1926-2005

Value-weighted

Original Paper Table	Reproduced Table

Equal-weighted

Original Paper Table	Reproduced Table

Table 2: Excess Daily Value-Weighted and Equal-Weighted U.S. Stock Market Returns at the Turn-of-the-Month, 1926-2005

Value-weighted

Original Paper Table	Reproduced Table

Equal-weighted

Original Paper Table	Reproduced Table

Table 4: Returns to the Fama-French-Carhart Size, Book-to-Market and Momentum Factors of U.S. Stock Returns, 1963-2005

Original Paper Table	Reproduced Table

Table 5: Daily Stock Market Returns for 34 non-U.S. Countries at the Turn-of-the-Month

Original Paper Table	Reproduced Table

Table 6: Average Daily U.S. Interest Rates at the Turn-of-the-Month over Various Time Periods Ending with December 2005

Original Paper Table	Reproduced Table

Table 7: Average Daily Value-Weighted and Equal-Weighted U.S. Stock Market Returns at the Turn-of-the-Month, February 1998-December 2005

Original Paper Table	Reproduced Table

References