The January Effect

17 Pages Posted: 2 Nov 2005

See all articles by Mark Haug

Mark Haug

University of Kansas

Mark Hirschey

University of Kansas

Multiple version iconThere are 2 versions of this paper

Date Written: November 2005


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.

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

JEL Classification: G12, G14

Suggested Citation

Haug, Mark and Hirschey, Mark, The January Effect (November 2005). Available at SSRN: or

Mark Haug

University of Kansas ( email )

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)


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