Almost all of the 'momentum' gains in the stock market happen during just six specific days every month.
The returns are driven by a predictable 'dash-for-cash' where investors sell off losing stocks to meet month-end payment deadlines. This mechanical cycle explains the momentum effect better than traditional theories of market psychology or risk.
The Intramonth Momentum Cycle 
SSRN · 6426026
US equity momentum returns accrue almost entirely in just six trading days each month. We show this concentration arises from investors' dash-for-cash: the need to raise cash before month-end payment deadlines leads to selling pressure on loser stocks a few days before month-end. A value-weighted WML strategy invested only during days t-9 to t-4 relative to the last trading day turns $1 into $18.78 over 1980-2025, compared to $2.40 for the rest of the month. The concentration is driven entirely