A Refutation of the Existence of the Other January Effect

2007 ◽  
Author(s):  
Stephen Andrew Easton ◽  
Sean Pinder
Keyword(s):  
The Other ◽  
January Effect ◽  
Other January Effect

scholarly journals The Other January Effect: international evidence

2009 ◽  
Vol 16 (2) ◽  
pp. 173-182 ◽  
Author(s):  
Martin T. Bohl ◽  
Christian A. Salm
Keyword(s):  
The Other ◽  
January Effect ◽  
International Evidence ◽  
Other January Effect

A Refutation of the Existence of the Other January Effect*

2008 ◽  
Vol 7 (3-4) ◽  
pp. 89-104 ◽  
Author(s):  
STEPHEN A. EASTON ◽  
SEAN M. PINDER
Keyword(s):  
The Other ◽  
January Effect ◽  
Other January Effect

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

2013 ◽  
Vol 16 (02) ◽  
pp. 1350011 ◽  
Author(s):  
Ali F. Darrat ◽  
Bin Li ◽  
Richard Chung
Keyword(s):  
Stock Market ◽  
Extended Period ◽  
The Other ◽  
January Effect ◽  
Sample Period ◽  
Holding Period ◽  
The Us ◽  
Abnormal Profits ◽  
Do So ◽  
Other January Effect

Cooper et 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.

The Other January Effect

CFA Digest ◽  
2007 ◽  
Vol 37 (2) ◽  
pp. 62-63
Author(s):  
Lester C. Cheng
Keyword(s):  
The Other ◽  
January Effect ◽  
Other January Effect

The Other January Effect: Evidence against market efficiency?

2010 ◽  
Vol 34 (10) ◽  
pp. 2413-2424 ◽  
Author(s):  
Ben R. Marshall ◽  
Nuttawat Visaltanachoti
Keyword(s):  
Market Efficiency ◽  
The Other ◽  
January Effect ◽  
Other January Effect

scholarly journals The Monthly Barometer Of The Indian Stock Market

2013 ◽  
Vol 13 (1) ◽  
pp. 85 ◽  
Author(s):  
Jayen B. Patel
Keyword(s):  
Stock Market ◽  
The Other ◽  
January Effect ◽  
Future Performance ◽  
Future Direction ◽  
Accuracy Of Prediction ◽  
Indian Stock Market ◽  
Over Time ◽  
Other January Effect

The January Barometer or the Other January effect suggests that January returns can predict future performance of the stock market. In this study, it is examined if any particular calendar month return can effectively be used as a monthly barometer to accurately predict future direction of the Indian stock market. The results indicate none of the calendar month returns has consistent ability to accurately predict the performance of the Indian stock market over the next twelve months. The accuracy of prediction did not substantially improve whether the predictor month had generated positive or negative returns. The results continue to remain remarkably consistent when the predictability accuracy was analyzed over time by examining the effect separately over years. The findings of this study clearly demonstrate that the Indian stock market does not possess a monthly barometer that can accurately predict future direction of the stock market.

The other January effect: International, style, and subperiod evidence

2009 ◽  
Vol 12 (3) ◽  
pp. 521-546 ◽  
Author(s):  
Chris Stivers ◽  
Licheng Sun ◽  
Yong Sun
Keyword(s):  
The Other ◽  
January Effect ◽  
International Style ◽  
Other January Effect

The Other January Effect

2005 ◽  
Author(s):  
Michael J. Cooper ◽  
John J. McConnell ◽  
Alexei V. Ovtchinnikov
Keyword(s):  
The Other ◽  
January Effect ◽  
Other January Effect

The other January effect☆

2006 ◽  
Vol 82 (2) ◽  
pp. 315-341 ◽  
Author(s):  
M COOPER ◽  
J MCCONNELL ◽  
A OVTCHINNIKOV
Keyword(s):  
The Other ◽  
January Effect ◽  
Other January Effect
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