Yes, Wall Street, There Is a January Effect! Evidence from Laboratory Auctions

Lisa Anderson (), Jeffrey Gerlach () and Francis DiTraglia ()
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Lisa Anderson: Department of Economics, College of William and Mary
Jeffrey Gerlach: Department of Economics, College of William and Mary
Francis DiTraglia: Department of Economics, College of William and Mary

No 15, Working Papers from Department of Economics, College of William and Mary

Abstract: In the first experimental test of the January effect, we find an economically large and statistically significant result in two very different auction environments. After controlling for variables that could influence subjectsÕ bids such as differences in private values, cumulative earnings, and learning effects, the prices in the January markets were systematically higher than those in December. The results suggest that psychological factors may contribute to the well-documented January effect in empirical stock market data, a conclusion that clearly violates the efficient markets hypothesis.

New Economics Papers: this item is included in nep-cbe, nep-exp and nep-fmk
Date: 2005-03-28

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