The January effect: Still there after all these years

Financial Analysts Journal

Volumn 52, Issue 1, 1996, Pages 27-31

  Haugen, Robert A ^a   Jorion, Philippe ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0003009537     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n1.1963     Document Type: Article

References (8)

1. See, for example, D. Keim, "Size-related Anomalies and Stock Return Seasonality: Further Empirical Evidence," Journal of Financial Economics, vol. 12, no. 1 (June 1983):13-32; M.E. Blume and R.F. Stambaugh, "Biases in Computed Returns: An Application to the Size Effect," Journal of Financial Economics, vol. 12, no. 3 (November 1983):387-404, and R. Roll, "On Computing Mean Returns and the Small Firm Premium," Journal of Financial Economics, vol. 12, no. 3 (November 1983):371-86.
2. See, for example, D. Keim, "Size-related Anomalies and Stock Return Seasonality: Further Empirical Evidence," Journal of Financial Economics, vol. 12, no. 1 (June 1983):13-32; M.E. Blume and R.F. Stambaugh, "Biases in Computed Returns: An Application to the Size Effect," Journal of Financial Economics, vol. 12, no. 3 (November 1983):387-404, and R. Roll, "On Computing Mean Returns and the Small Firm Premium," Journal of Financial Economics, vol. 12, no. 3 (November 1983):371-86.
3. See, for example, D. Keim, "Size-related Anomalies and Stock Return Seasonality: Further Empirical Evidence," Journal of Financial Economics, vol. 12, no. 1 (June 1983):13-32; M.E. Blume and R.F. Stambaugh, "Biases in Computed Returns: An Application to the Size Effect," Journal of Financial Economics, vol. 12, no. 3 (November 1983):387-404, and R. Roll, "On Computing Mean Returns and the Small Firm Premium," Journal of Financial Economics, vol. 12, no. 3 (November 1983):371-86.
4. M.S. Rozeff and W.R. Kinney, "Capital Market Seasonality: The Case of Stock Returns," Journal of Financial Economics, vol. 3, no. 4 (October 1976):379-402.
5. S. Wachtel, "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, vol. 15, no. 2 (April 1942): 184-93.
6. See, for example, M. Reinganum, "The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-Loss Selling Effects," Journal of Financial Economics, vol. 12, no. 1 (June 1983):89-104.
7. See R. Haugen and J. Lakonishok, The Incredible January Effect (Homewood, IL: Dow Jones Irwin, 1988).
8. R.K. Bhardwaj and L. D. Brooks, "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," The Journal of Finance, vol. 47, no. 2 (June 1992)553-76.