The January effect has been well documented since the 1970s. This study examines whether the January effect still exists and if it does, whether arbitrageurs exploit it. We find that the January effect is still persis...The January effect has been well documented since the 1970s. This study examines whether the January effect still exists and if it does, whether arbitrageurs exploit it. We find that the January effect is still persistently significant. Furthermore, we find that arbitrageurs appear to exploit the January effect, especially in good market years when the number of losing firms is limited and are therefore more easily identifiable. We also find that the January effect tends to be higher for losing stocks with high arbitrage costs relative to those with low arbitrage costs.展开更多
基金Acknowledgements We are grateful to Murali Jagannathan, Kristian Rydqvist, Tongshu Ma, Ming Liu, Michael Sehill, Nianhang Xu, Qingbin Meng, and seminar participants at Renmin University for helpful comments. Xue Wang acknowledges the financial support of the National Natural Science Foundation of China （NSFC projects nos. 71302157 and 71402008）, the Scientific Research Foundation for the Returned Overseas Chinese Scholars, Ministry of Education of China. All errors are our own.
文摘The January effect has been well documented since the 1970s. This study examines whether the January effect still exists and if it does, whether arbitrageurs exploit it. We find that the January effect is still persistently significant. Furthermore, we find that arbitrageurs appear to exploit the January effect, especially in good market years when the number of losing firms is limited and are therefore more easily identifiable. We also find that the January effect tends to be higher for losing stocks with high arbitrage costs relative to those with low arbitrage costs.
