Investing in the Turn-of-the-Year Effect

Financial Markets and Portfolio Management, Vol. 25, No. 4, pp. 455-472, 2011

Posted: 7 Dec 2011

See all articles by William T. Ziemba

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business

Date Written: October 4, 2011

Abstract

The January effect is concerned with high stock returns in January, especially by small cap stocks. Transactions costs, especially price pressures, make it difficult to take advantage of this anomaly. However, these costs are minimal in the futures markets. This paper discusses the results of small minus large capitalized US stocks since futures trading began in 1982. There is some anticipation of the effect and in the futures markets; the anomaly still exists but is now totally in December.

Keywords: January effect, turn-of-the-year effect, futures trading

JEL Classification: C02, C61, G11, P34

Suggested Citation

Ziemba, William T., Investing in the Turn-of-the-Year Effect (October 4, 2011). Financial Markets and Portfolio Management, Vol. 25, No. 4, pp. 455-472, 2011 . Available at SSRN: https://ssrn.com/abstract=1969333

William T. Ziemba (Contact Author)

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
604-261-1343 (Phone)
604-263-9572 (Fax)

HOME PAGE: http://williamtziemba.com

Register to save articles to
your library

Register

Paper statistics

Abstract Views
1,464
PlumX Metrics