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The first day advantage Add to ...

Here's an observation that will likely drive efficient market theorists nuts: According to Eddy Elfenbein at Crossing Wall Street , the first trading day of the month has been far better for U.S. stocks than the other 20-or-so days.

The S&P 500 has fallen 39.5 per cent over the past decade. But if you just look at the returns for the first day of the month, the index is up 21 per cent - an astounding 60 percentage-point difference.

"What's interesting is that first days of the month occur less than 5 per cent of the time, so sitting out the rest of the time would have been a smart strategy," Mr. Elfenbein said.

He doesn't give a reason why there has been such a dramatic difference. The first day of each month could easily be more volatile than the other days because institutional investment decisions - particularly by mutual funds - might kick in then. But as for why the first days would be such winners is a fascinating mystery.

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