Abstract

http://ssrn.com/abstract=831985
 
 

References (19)



 
 

Citations (21)



 


 



The January Effect


Mark Haug


University of Kansas

Mark Hirschey


University of Kansas

November 2005


Abstract:     
This paper uses broad samples of value-weighted and equally-weighted returns to document the fact that abnormally high rates of return on small-cap stocks continued to be observed during the month of January. The January effect in small cap stock returns is remarkably consistent over time, and does not appear to have been affected by passage of the Tax Reform Act of 1986. This finding adds new perspective to the traditional tax-loss selling hypothesis, and suggests the potential relevance of behavioral explanations. After a generation of intensive study, the January effect is alive and well, and continues to present a daunting challenge to the Efficient Market Hypothesis.

Number of Pages in PDF File: 17

Keywords: Market efficiency, January effect, calendar anomalies, behavioral finance

JEL Classification: G12, G14

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Date posted: November 2, 2005  

Suggested Citation

Haug, Mark and Hirschey, Mark, The January Effect (November 2005). Available at SSRN: http://ssrn.com/abstract=831985 or http://dx.doi.org/10.2139/ssrn.831985

Contact Information

Mark Haug
University of Kansas ( email )
1415
Lawrence, KS 66045
United States
Mark Hirschey (Contact Author)
University of Kansas ( email )
School of Business
1300 Sunnyside Ave.
Lawrence, KS 66045-7585
United States
785-864-7563 (Phone)
785-864-5328 (Fax)
HOME PAGE: http://www.business.ku.edu/gen/bschool_generated_pages/Hirschey_Mark_p2272.html
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References:  19
Citations:  21

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