The Other January Effect: Evidence against market efficiency?

Ben Marshall and Nuttawat Visaltanachoti ()

Journal of Banking & Finance, 2010, vol. 34, issue 10, 2413-2424

Abstract: The Other January Effect (OJE), which suggests positive (negative) equity market returns in January predict positive (negative) returns in the following 11Â months of the year, underperforms a simple buy-and-hold strategy before and after risk-adjustment. Even the best modified OJE strategy, which benefits from several ex-post adjustments, does not generate statistically or economically significant excess returns. When the OJE is tested with a method that is consistent with investor experience it is clear the OJE is no more profitable than an 11-month strategy that uses November or December as the conditioning month.

Keywords: Other; January; Effect; January; barometer; Seasonality; Return; predictability; Quantitative; investment (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:10:p:2413-2424

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