Many empirical studies have found that patterns in stock index returns are seasonally related, which is contrary to the weak form of the Efficient Market Hypothesis (EMH). This article takes a closer look at the Turn-Of-the-Month Effect (TOME) and its economic relevance. By scrutinizing the...

In past decades, many empirical studies revealed return anomalies in many different asset classes and markets. Very recent publications have, however, even found evidence that stock markets react to the results of soccer matches. In this article, we argue that such empirical studies should be...