This study provides a month-by-month examination of stock returns. The results reconfirm the January Effect as well as indicate a powerful anomaly in September. Investing in the CRSP equal-weighted index in only January turns 1in1926to87.40 by 2006. The second closest month is July, during which 1growsto3.11. September is a poor month to invest. The 1investedinonlySeptemberdecreasestoamere0.49. The Halloween Effect vanishes once the monthly anomalies are controlled for. The September Effect is also established in four out of the five international markets tested