Ivolution Research Journal · Inconclusive report
Turn-of-month return seasonality (last + first-3 trading days)
Turn-of-month sessions (the last trading day of a month plus the first three of the next) carry a higher close-to-close return than the rest-of-month baseline.
Cite as: CAL-11: Turn-of-month return seasonality (last + first-3 trading days). Ivolution Research Journal.
Publication status
The completed study did not produce decisive evidence for or against the hypothesis. It is not citable as an edge.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for CAL-11 are available to Terminal + AI members.
Symbols
SPX · SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
close