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The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)

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Figure

Figure 1:  Average Daily Returns By Trading Days Of The Month Notes: The returns are the log returns of actual daily closing prices without considering the effect of dividends
Table 1:  Average Daily Returns (%) Of Different Periods Average 0.1443*
Figure 2:  Total Numbers Of Units By Trading Days Of The Month

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