On Unmodeled Breaks in the Turn of the Year, Turn of the Month, and January Effects

We produce convincing new evidence that the turn of the year (TOY), turn of the month (TOM), and January effects are critically dependent on the sample period over which they are estimated. The TOY effect is significant in the value‐weight portfolio from 1962 to 1997. It becomes insignificant in the medium‐size portfolio after 1994 and in the equal‐weight and low‐size portfolios after 1997. The TOM effect becomes insignificant in the value‐weight and high‐size portfolios after 1978, in the equal‐weight and medium‐size portfolios after 1997, and in the low‐size portfolio after 1998. January effects are significant in some subperiods but not others.