The Turn of the Month Effect in Asia-Pacific Markets: New Evidence
Why this work is in the frame
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Bibliographic record
Abstract
A predictable pattern in equity returns based on the calendar time is dubbed as calendar anomaly. The prevalence of calendar anomalies is considered evidence against the efficient market hypothesis. This article examines one of the most important calendar anomalies, the turn-of-the-month (TOM) effect, in 12 major Asia-Pacific markets during the period January 2000 to April 2015, using both parametric and non-parametric tests. Under investigation, 11 out of 12 markets exhibit significant TOM effects that are independent of the turn-of-the-year (TOY) effect. Moreover, these effects are not present during the period of financial crisis. The persistence of the TOM effect in these markets, even after a quarter of a century of its initial reporting, is a puzzle which needs an explanation.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it