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The January and Size Effects on Stock Returns: More Evidence

International Journal of Applied Accounting and Finance, Vol. 1, No. 1, pp. 47-52, 2010

7 Pages Posted: 19 Jun 2011 Last revised: 21 Jun 2011

Vichet Sum

University of Maryland Eastern Shore - School of Business and Technology

Date Written: June 1, 2009

Abstract

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.

Keywords: January and Size Effects, Stock Returns

JEL Classification: G10, G11, G14

Suggested Citation

Sum, Vichet, The January and Size Effects on Stock Returns: More Evidence (June 1, 2009). International Journal of Applied Accounting and Finance, Vol. 1, No. 1, pp. 47-52, 2010 . Available at SSRN: https://ssrn.com/abstract=1865941

Vichet Sum (Contact Author)

University of Maryland Eastern Shore - School of Business and Technology ( email )

2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)

HOME PAGE: http://www.umes.edu/bma/Sum.html

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