Almost all of the 'momentum' gains in the stock market happen during just six specific days every month.
March 24, 2026
Original Paper
The Intramonth Momentum Cycle 
SSRN · 6426026
The Takeaway
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.
From the abstract
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