Do Earnings Explain the January Effect?

Ma, Qingzhong; Lu, Hai

doi:10.2139/ssrn.479141

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Do Earnings Explain the January Effect?

29 Pages Posted: 21 Dec 2003

See all articles by Qingzhong Ma

Qingzhong Ma

University of Southern California - Marshall School of Business

Hai Lu

University of Toronto - Rotman School of Management

Date Written: December 12, 2003

Abstract

This paper presents evidence on the correlation between stock returns in January and the earnings information released in the month. The annual earnings announced in January are predominantly positive, and the stock returns in late January are abnormally high than in the remainder of the year. Both time-series and cross-sectional analysis shows a strong relationship between stock returns and the earnings information released in January, particularly in the second half of the month. The results suggest that the earnings information may be one important driving force of the January Effect.

Keywords: January effect, return anomaly, seasonality, earnings

JEL Classification: G14, M41

Suggested Citation: Suggested Citation

Ma, Qingzhong and Lu, Hai, Do Earnings Explain the January Effect? (December 12, 2003). Available at SSRN: https://ssrn.com/abstract=479141 or http://dx.doi.org/10.2139/ssrn.479141