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The other January effect
Streetlore since at least 1973 has touted the market return in January as a predictor of market returns for the remainder of the year. We systematically examine the predictive power of January returns over the period 1940–2003 and find that January returns have predictive power for market returns ov...
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| Published in: | Journal of financial economics 2006-11, Vol.82 (2), p.315-341 |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c496t-9e44b041d39e4c4aaaffaf705ff2fca3fb2d2da39e861e541023a1a430e62883 |
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| container_end_page | 341 |
| container_issue | 2 |
| container_start_page | 315 |
| container_title | Journal of financial economics |
| container_volume | 82 |
| creator | Cooper, Michael J. McConnell, John J. Ovtchinnikov, Alexei V. |
| description | Streetlore since at least 1973 has touted the market return in January as a predictor of market returns for the remainder of the year. We systematically examine the predictive power of January returns over the period 1940–2003 and find that January returns have predictive power for market returns over the next 11 months of the year. The effect persists after controlling for macroeconomic/business cycle variables that have been shown to predict stock returns, the Presidential Cycle in returns, and investor sentiment, and it persists among both large and small capitalization stocks and among both value and growth stocks. In addition, we find that January has predictive power for two of the three premiums in the Fama–French [1993. Journal of Financial Economics 33, 3–50] three-factor model of asset pricing. |
| doi_str_mv | 10.1016/j.jfineco.2006.03.001 |
| format | article |
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| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2006-11, Vol.82 (2), p.315-341 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_36439052 |
| source | International Bibliography of the Social Sciences (IBSS); ScienceDirect Freedom Collection |
| subjects | Asset pricing Asset valuation Business cycles Data analysis Economic fluctuations Financial assets Financial research Growth stocks January barometer Market returns Rates of return Return seasonalities Seasonal fluctuations Stock returns Studies |
| title | The other January effect |
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