The January Anomaly and Anomalies in January
Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2023-03-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/615 |
| _version_ | 1797866991927689216 |
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| author | Steven Kozlowski Alex Lytle |
| author_facet | Steven Kozlowski Alex Lytle |
| author_sort | Steven Kozlowski |
| collection | DOAJ |
| description | Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return anomalies. We find that short-term reversals strengthen while momentum changes sign at the turn of the year, and such patterns are more pronounced following years of recession and poor market performance, consistent with tax-loss selling playing a key role. Although additional factors are likely to contribute to the overall effect, no significant change in anomaly performance occurs midyear, casting doubt on window-dressing as a primary driving force.
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| first_indexed | 2024-04-09T23:34:11Z |
| format | Article |
| id | doaj.art-99dedea3a9704bd59e0275639ab13889 |
| institution | Directory Open Access Journal |
| issn | 2253-5799 2253-5802 |
| language | English |
| last_indexed | 2024-04-09T23:34:11Z |
| publishDate | 2023-03-01 |
| publisher | Tuwhera Open Access Publisher |
| record_format | Article |
| series | Applied Finance Letters |
| spelling | doaj.art-99dedea3a9704bd59e0275639ab138892023-03-20T22:03:02ZengTuwhera Open Access PublisherApplied Finance Letters2253-57992253-58022023-03-0112110.24135/afl.v12i1.615The January Anomaly and Anomalies in JanuarySteven Kozlowski0Alex Lytle1Fairfield UniversityFairfield UniversityPrior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return anomalies. We find that short-term reversals strengthen while momentum changes sign at the turn of the year, and such patterns are more pronounced following years of recession and poor market performance, consistent with tax-loss selling playing a key role. Although additional factors are likely to contribute to the overall effect, no significant change in anomaly performance occurs midyear, casting doubt on window-dressing as a primary driving force. https://ojs.aut.ac.nz/applied-finance-letters/article/view/615 |
| spellingShingle | Steven Kozlowski Alex Lytle The January Anomaly and Anomalies in January Applied Finance Letters |
| title | The January Anomaly and Anomalies in January |
| title_full | The January Anomaly and Anomalies in January |
| title_fullStr | The January Anomaly and Anomalies in January |
| title_full_unstemmed | The January Anomaly and Anomalies in January |
| title_short | The January Anomaly and Anomalies in January |
| title_sort | january anomaly and anomalies in january |
| url | https://ojs.aut.ac.nz/applied-finance-letters/article/view/615 |
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