The January Effect

Posted: 9 Oct 2006

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


Analysis of broad samples of value-weighted and equal-weighted returns of U.S. equities documents that abnormally high rates of return on small-capitalization stocks continue to be observed during the month of January. This 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 brings new perspective to the tax-loss selling hypothesis and suggests that behavioral explanations are relevant to the January effect. After a generation of intensive study, the January effect continues to present a serious challenge to the efficient market hypothesis.

Keywords: Equity Investments, Technical Analysis, Portfolio Management, Equity Strategies, Investment Theory, Efficient Market Theory, Behavioral Finance

Suggested Citation

Haug, Mark and Hirschey, Mark, The January Effect. Financial Analysts Journal, Vol. 62, No. 5, pp. 78-88, October 2006, Available at SSRN:

Mark Haug (Contact Author)

University of Kansas ( email )

Lawrence, KS 66045
United States

Mark Hirschey

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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