The January Effect - A New Piece for an Old Puzzle

28 Pages Posted: 4 Nov 2008

See all articles by Jason Fink

Jason Fink

James Madison University - College of Business

Kristin Fink

James Madison University - College of Business

Jonathan M. Godbey

Georgia State University - Department of Finance

Date Written: October 31, 2008

Abstract

For decades the finance profession has noticed the tendency of equity prices, most noticeably for small stocks, to rise in value in the month of January. The small stock January effect appears to have been significant over the last thirty five years. However, we demonstrate that even after controlling for both the size of the firm and systematic factors, young firms experience significant and abnormally positive January returns. This age effect has several possible sources, including firm level information uncertainty in January or increased investor demand related to young firms.

Suggested Citation

Fink, Jason and Fink, Kristin and Godbey, Jonathan M., The January Effect - A New Piece for an Old Puzzle (October 31, 2008). Available at SSRN: https://ssrn.com/abstract=1292836 or http://dx.doi.org/10.2139/ssrn.1292836

Jason Fink (Contact Author)

James Madison University - College of Business ( email )

Harrisonburg, VA 22807
United States
540-568-8107 (Phone)

Kristin Fink

James Madison University - College of Business ( email )

Harrisonburg, VA 22807
United States

Jonathan M. Godbey

Georgia State University - Department of Finance ( email )

University Plaza
Atlanta, GA 30303-3083
United States

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