The other January effect

• 成果类型: Article
• 署名作者: Cooper, Michael J.; McConnell, John J.; Ovtchinnikov, Alexel V.
• 署名单位: Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; Purdue University System; Purdue University; Virginia Polytechnic Institute & State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.03.001
• 发表日期: 2006
• 页码: 315-341
• 关键词: January barometer; return seasonalities; asset pricing; Market returns

摘要

Strectlore since at least 1973 has touted the market return in January as a predictor of market returns for the remainder of the year. 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 I I months of the year. The effect persists after controlling for macroeconomic/ business cycle variables that have been shown to predict stock returns, the Presidential Cycle in returns, and investor sentiment, and it persists among both large and small capitalization stocks and among both value and growth stocks. In addition, we find that January has predictive power for two of the three premiums in the Fama-French [1993. Journal of Financial Economics 33, 3-50] three-factor model of asset pricing. (c) 2006 Elsevier B.V. All rights reserved.