Zusammenfassung (übersetzt):
The paper investigates the calendar rebalancing effects on Zagreb Stock Exchange (ZSE) by analyzing daily returns of the CROBEX and the CROBIS indices from September 2003 to March 2025. A regression analysis and a simulated investment strategy are used to examine whether systematic differences in returns between stocks and bonds at the beginning of the month predict return corrections at the end of the month. The results indicate a negative relationship between return differences in the first and the last third of the month, confirming the existence of a calendar rebalancing effect. Proposed investment strategy achieves significantly better risk-adjusted returns, with a Sharpe ratio twice as high as that of the "buy and hold" CROBEX index strategy. The robustness of the results is established through a sensitivity analysis of the rebalancing time frame, with the best returns observed precisely five days before the end of the month. In contrast, a placebo effect involving rebalancing at the beginning of the month shows weaker results, suggesting that it's linked to institutional activities at month-end. The findings provide insight into the timing sensitivity of rebalancing strategies and highlight opportunities for returns enhancement in emerging markets.