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In this article, we analyse the potential quarterly anomalies of Spanish stock returns. We extend previous studies by analysing the daily Cumulative Abnormal Return (CAR) in the first trading days of a quarter to better understand the behaviour of stocks. Our results show no clear stock return anomalies during the first three quarters of the year that is consistent with the existing literature. Nevertheless, the results provide evidence of a significant anomaly for the last quarter, especially for loser small-cap stocks. This turn-of-the-year effect is stronger in bear market years than in bull market years. The daily return analysis for January shows that the main CAR is reached in the first trading days of the year and that the current personal income tax law in Spain has prolonged the duration of the January effect.
