The month-end effect is well known by many market participants but often not fully understood.  I recently read an academic paper that piqued my interest enough to study the subject myself.  Ironically, because I would have liked the author of that paper to have looked at the subject differently.  Some of you may be familiar with Mebane Faber’s blog The Idea Farm. If not, I highly recommend it for trading ideas.  It’s not a traditional blog; however, he emails one or two research reports from first rate sources each week.  His January 23rd email offered a Deutsche Bank paper that was itself a review of recent academic work.  One of the papers reviewed Continue reading →