No. of Recommendations: 2
Mungo, thanks for raising the topic. I have been researching this for last few weeks. Here is the academic paper that examined the end-of-month effect in US equity markets.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=917884

The charts on page 31 (period 1926-1986) and page 32 (period 1987-2005) are all you need to look at.

Conclusion:
for 1926-1986 period: last 2 and first 5 trading days of the month were good.

for 1987-2005 period: last 5 and first 5 trading days were good for equal weighted (EW) strategies and last 2 and first 2 are good for value weighted (VW) strategies.

Quoting from paper:

Thus, over the period 1987-2005, the turn-of-the-month effect is
pronounced and, as we will show, highly statistically significant. Additionally, as is apparent, especially with VW returns, virtually all of the excess market return over this 19-year interval accrued during the four-day turn-of-the-month period such that investors received little or no reward for bearing market risk over the other 16 trading days of the month.


FWIW, i have tested this effect in one other international market and the effect holds.
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