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The Other January Effect: Evidence Against Market Efficiency?

Ben R. Marshall
Massey University - Department of Economics and Finance

Nuttawat Visaltanachoti
Massey University - Department of Economics and Finance

October 6, 2009

Abstract:
The Other January Effect (OJE), which suggests positive (negative) equity market returns in January predict positive (negative) returns in the following 11 months of the year, is not economically significant. It cannot be profitably implemented and is therefore not evidence against market efficiency. The OJE suffers from being out of the market in January and gives inaccurate short signals. When the OJE is tested with a method that is consistent with investor experience it is clear the OJE is no more profitable than an 11-month strategy that uses December as the conditioning month.

Keywords: Other January Effect, January Barometer, Quantitative, Return Predictability

JEL Classifications: G10, G11, G12, G14

Working Paper Series

Date posted: November 28, 2007 ; Last revised: November 11, 2009

Suggested Citation

Marshall, Ben R. and Visaltanachoti, Nuttawat, The Other January Effect: Evidence Against Market Efficiency? (October 6, 2009). Available at SSRN: http://ssrn.com/abstract=1337894

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Contact Information

Ben R. Marshall (Contact Author) Massey University - Department of Economics and Finance ( email ) Private Bag 11-222 Palmerston North 30974 New Zealand 64 6 350 5799 (Phone) 64 6 350 5651 (Fax)
Nuttawat Visaltanachoti Massey University - Department of Economics and Finance ( email ) Department of Economics and Finance Private Bag 102904, NSMC Auckland New Zealand 64 9 414 0800 (9460) (Phone) 64 9 441 8177 (Fax) HOME PAGE: http://commerce.massey.ac.nz/Visaltanachoti.asp

Abstract

Date posted: November 28, 2007 ; Last revised: November 11, 2009

Suggested Citation

Contact Information

Ben R. Marshall (Contact Author)

Nuttawat Visaltanachoti