The January Effect Revisited

The January effect is the tendency for stocks, particularly those of small companies, to do exceptionally well during the month of January. At least ten different reasons have been given for why this might occur, although a reading of the literature suggests that researchers are converging on the ta...

Full description

Saved in:
Bibliographic Details
Published in:Journal of Financial Planning 2004-04, Vol.17 (4), p.26
Main Authors: Pietranico, Paul-Charles A, Riepe, Mark W
Format: Article
Language:English
Subjects:
Benchmarks
Capital assets
Compensation
Default
Government bonds
Growth stocks
Hedging
Hypotheses
Investment policy
Portfolio management
Rates of return
Risk factors
Securities markets
Small cap investments
Stock prices
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:The January effect is the tendency for stocks, particularly those of small companies, to do exceptionally well during the month of January. At least ten different reasons have been given for why this might occur, although a reading of the literature suggests that researchers are converging on the tax-loss selling, window dressing or performance hedging hypotheses as the leading candidates. An analysis shows that: 1. The January effect remains cither dead or dormant for all but the smallest firms. 2. The January effect in these stocks survives even after we account for a large list of risk factors. 3. While it hasn't been figured out how to effectively exploit this little anomaly yet, there still appears to be time.
ISSN:1040-3981