We present a multi-trial experiment that extends the classic experiment of Thaler et al. (1997) by adding short-term information to long-term investment. The allocation to the risky asset is reduced in the long-term, when we add short-term information.

The turn-of-the-month (TOM) anomaly is widely discussed in the literature of the last three decades covering US and other equity markets. In this study we identify new characteristics and sources of this anomaly. We use data of US indices spanning more than 80 years. Our findings relate to...