Do smaller shares, taken together, do worse against the market fund in the month after a quarter ends than in the next two months?
Study 68 · Changed a rule or plan · recorded 25 October 2026 · answer: Not at the size tested · full paper with figures
The question
We averaged each day's return of shares priced at five or more in the market's own currency, less the market fund's, and compared the month from the twelfth after each quarter's end with the next two months, one difference per quarter. Earlier studies used these years, so this checks the pattern within our development data rather than on fresh data.
Data and method
The plain average just missed the bar, so the median decided: its smallest detectable gap was 0.088 points a day, and on the reshuffled earlier sessions it reported a gap that was not there 4.85% of the time, inside the band of 1% to 7.5% set in advance. Consecutive quarters' differences did not move together, so no range needed widening.
Main estimate
0.022 percentage points (95% range -0.097 to 0.084), from 20 observations
What it changes
By the rule set in advance, the pattern seen in 2014 to 2017 is closed as a fact of those years: no season adjustment is proposed for the return windows later studies measure against the market fund, and nothing else changes. The plan expected an unsettled result, with low confidence, and gave this answer a chance of 0.06.
What remains uncertain
The month is cut by the calendar, not by each company's report date, and filing dates are not the dates results were announced. Five years and 20 quarters, 2020 among them, are few, so the allowance for one quarter carrying into the next is itself rough; trading value is the only measure of company size held.
How it was made
Run took 118 minutes; independent code review: approve; the recorded calculation reruns to the same result.
Fingerprints
plan b0bccf226d5bd24c1f32a4750838540ff99ab54e32a4354565595a547df63b75 result d63b533c63b084846ac49b7ba44b67b45a7bc489964df7c78f18c03698835f1b
Exploratory work on development data; not a performance claim.