VALUE PREMIUMS AND THE JANUARY EFFECT: INTERNATIONAL EVIDENCE

Praveen Kumar Das and S P Uma Rao

The International Journal of Business and Finance Research, 2011, vol. 5, issue 4, 1-15

Abstract: Using data from the stock markets of Japan, the U.K, and France, this paper examines the distribution and source of value premium in average stock returns for the period 1975 through 2007. Results from this study indicate a January effect in value premium, which is valid and economically meaningful for all three major non-U.S. markets. Consistent with Loughran (1997), our study suggests that January value premium is more pronounced in large stocks and high January value premium is mostly driven by superior returns of value stocks in January. In particular, value premium for January month is nearly three to nine times that of non-January months. Annualized value premiums for January (non-January months) for Japan, the U.K. and France are 28.08% (9.12%), 15.36% (2.04%), and 30.96% (3.48%). The annualized excess January value premium ranges from 13.32% for the U.K. to 27.48% for France with 18.96% for Japan. Results are robust with respect to alternative value-growth indicators as well as sample periods.

Keywords: Value premium; International; January effect (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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