The January and Size Effects on Stock Returns: More Evidence
University of Maryland, Eastern Shore - School of Business and Technology; University of Maryland, College Park
June 1, 2009
International Journal of Applied Accounting and Finance, Vol. 1, No. 1, pp. 47-52, 2010
The purpose of the present study is to provide further empirical evidence of the January and size effects on stock returns. The data used in this study are monthly stock returns, shares outstanding, and prices of all the stocks listed on the NYSE, AMEX, and NASDAQ. The data of monthly stock returns, shares outstanding, and prices of all the stocks listed on the NYSE are from January 1,1959 to December 31, 2007. The data of the stocks listed on the AMEX are from January 1, 1962 to December 31, 2007. The NASDAQ’s data are from January 1, 1971 to December 31, 2007. The findings confirm the January and size effects on stock returns reported in the previous studies.
Number of Pages in PDF File: 7
Keywords: January and Size Effects, Stock Returns
JEL Classification: G10, G11, G14Accepted Paper Series
Date posted: June 19, 2011 ; Last revised: June 21, 2011
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