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- Title
THE JANUARY ANOMALY AND ANOMALIES IN JANUARY.
- Authors
KOZLOWSKI, STEVEN; LYTLE, ALEXANDER
- Abstract
Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return anomalies. We find that short-term reversals strengthen while momentum changes sign at the turn of the year, and such patterns are more pronounced following years of recession and poor market performance, consistent with tax-loss selling playing a key role. Although additional factors are likely to contribute to the overall effect, no significant change in anomaly performance occurs midyear, casting doubt on window dressing as a primary driving force.
- Subjects
RATE of return on stocks; STOCK exchanges; JANUARY; RECESSIONS; EFFICIENT market theory; INVESTMENT policy
- Publication
Applied Finance Letters, 2023, Vol 12, Issue 1, p2
- ISSN
2253-5799
- Publication type
Article
- DOI
10.24135/afl.v12i1.615