Results 251 to 260 of about 4,045,014 (299)
Some of the next articles are maybe not open access.
SSRN Electronic Journal, 2005
"Streetlore" has touted the market return in January as a predictor of market returns for the remainder of the year since at least 1973. We systematically examine the predictive power of January returns over the period 1940-2003 and find that January returns have predictive power for market returns over the next 11 months of the year.
M COOPER, J MCCONNELL, A OVTCHINNIKOV
openaire +1 more source
"Streetlore" has touted the market return in January as a predictor of market returns for the remainder of the year since at least 1973. We systematically examine the predictive power of January returns over the period 1940-2003 and find that January returns have predictive power for market returns over the next 11 months of the year.
M COOPER, J MCCONNELL, A OVTCHINNIKOV
openaire +1 more source
Financial Analysts Journal, 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
Mark Haug, Mark Hirschey
openaire +1 more source
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
Mark Haug, Mark Hirschey
openaire +1 more source
What Drives the January Effect?
SSRN Electronic Journal, 2000The January anomaly has attracted much academic interest and has been explained in different ways. However, the multitude of explanations has created confusion about the validity and relative importance of those explanations. In some cases, the hypotheses are examined individually though the evidence may be consistent with more than one hypothesis ...
Vijay Singal, Honghui Chen
openaire +1 more source
January Effect - A Re-examination
SSRN Electronic Journal, 2002The multitude of explanations for the January effect leaves the reader confused about its primary cause(s): is it tax-loss selling, window-dressing, information, bid-ask bounce, or a combination of these causes? The confusion arises, in part, because evidence has been presented in support of a particular hypothesis though the same evidence may be ...
Honghui Chen, Vijay Singal
openaire +1 more source
Journal of Banking & Finance, 2010
We use a time-series GARCH framework with the conditional variance/covariance as proxies for systematic risk to reexamine the proposition by Rozeff and Kinney (1976) and Rogalski and Tinic (1986) that the January effect may be a phenomenon of risk compensation in the month.
Qian Sun, Wilson H.S. Tong
openaire +1 more source
We use a time-series GARCH framework with the conditional variance/covariance as proxies for systematic risk to reexamine the proposition by Rozeff and Kinney (1976) and Rogalski and Tinic (1986) that the January effect may be a phenomenon of risk compensation in the month.
Qian Sun, Wilson H.S. Tong
openaire +1 more source
Macroeconomic Seasonality and the January Effect
The Journal of Finance, 1994ABSTRACTMany financial markets researchers have sought an explanation for the role of January in stock returns. Any explanation of this phenomenon that is consistent with rational pricing must specify a source of seasonality in expected returns. The pervasive seasonality in the macroeconomy is an appealing possibility.
openaire +1 more source
Equity REITs and the January Effect
The Journal of Alternative Investments, 2000Traditionally, the potential benefits of a particular investment strategy are explored using relatively simple risk and return ratios. In fact, a more complete look at the relative performance of the entire return distribution may be offered through the use of stochastic dominance. In this “academic presentation” the authors use stochastic dominance to
Nancy O. Cromwell +2 more
openaire +1 more source
SSRN Electronic Journal, 2012
To study the January effect, four major pairs including EURUSD, USDJPY, GBPUSD and USDCHF during January 2002 to November 2012 are investigated. By calculating average daily return for each month, 12 series are sorted out from January to December in 2002-2012.
openaire +1 more source
To study the January effect, four major pairs including EURUSD, USDJPY, GBPUSD and USDCHF during January 2002 to November 2012 are investigated. By calculating average daily return for each month, 12 series are sorted out from January to December in 2002-2012.
openaire +1 more source