EconPapers    
Economics at your fingertips  
 

The January sentiment effect in the U.S. stock market

Zhongdong Chen and Phillip R. Daves

International Review of Financial Analysis, 2018, vol. 59, issue C, 94-104

Abstract: We document the January sentiment effect in the U.S. stock market over the 1978–2017 period where January sentiment of individual investors has a significant impact on their asset allocation decisions and therefore, stock market returns from February to December. This effect is not likely driven by the other January effect and it appears to concentrate on riskier stocks including smaller stocks, higher market-to-book ratio stocks, and stocks with worse firm performance.

Keywords: January sentiment; Stock return anomalies (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521918302990
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:59:y:2018:i:c:p:94-104

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-09-14
Handle: RePEc:eee:finana:v:59:y:2018:i:c:p:94-104