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- Title
Return-enhancing strategies with international ETFs: Exploiting the turn-of-the-month effect.
- Authors
Haiwei Chen; Sang Heon Shin; Xu Sun
- Abstract
We show that the average return over the four-day period surrounding the turn of the month is significantly positive in eight out of the nine international exchange-traded funds (ETFs). The strategy of buying-and-holding an ETF during tum-of-the-month (TOM) period and switching to holding T-bills during non-TOM period produces significantly positive monthly average returns. This ETF-T-bills switching strategy also has the lowest risk and highest Sharpe ratio and Sortino ratio than the traditional strategy of buying-and-holding either an index fund or an ETF. Investors pursuing this switching strategy generate a terminal value twice larger than the next best strategy of buying-and-holding an ETF.
- Subjects
EXCHANGE traded funds; RATE of return; STOCK funds; INVESTMENT risk; SHARPE ratio; INVESTORS
- Publication
Financial Services Review, 2015, Vol 24, Issue 3, p271
- ISSN
1057-0810
- Publication type
Article