The Other Month Effect: A Re-Examination of the "Other January" Anomaly

Ali F. Darrat, Bin Li () and Richard Chung
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Ali F. Darrat: College of Business, Louisiana Tech University, Ruston, LA 71272, USA
Bin Li: Griffith Business School, Griffith University, Nathan, QLD 4111, Australia
Richard Chung: Griffith Business School, Griffith University, Nathan, QLD 4111, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2013, vol. 16, issue 02, 1-23

Abstract: Cooperet al.(2006) find support for the "other January" effect in the US market over the period from January 1940 to December 2003 whereby the 11-month holding period returns following positive January returns are on average higher than those 11 months following negative January returns. Under this scenario, January returns can predict the subsequent 11-month holding period returns implying the potential for abnormal profits. We revisit this "anomaly" in the US stock market using the extended period from July 1926 to January 2012. Over the shorter period of 1940–2003 used by CMO, the results are supportive of the "other January" effect and they do so for several alternative holding periods. However, this alleged "other January" effect disappears once we expand the period. Moreover, we find similar and perhaps stronger anomalies for non-January months, particularly February and September. The evidence we uncover in this paper suggests that this alleged "other January" effect is likely sample-period sensitive and further, it is not specific to the month of January.

Keywords: Seasonal anomalies; other January effect; market efficiency; January effect; G14 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1142/S0219091513500112

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