Portfolio Rebalancing and the Turn-of-the-Year Effect
AbstractThis paper finds that, for the 1935-86 period, the market's risk-return relation does not have a January seasonal. The findings differ from those of other studies due to the use of value-weighted, rather than equally-weighted, portfolios. Inferences are sensitive to the weighting procedure because of the small-firm return patterns in January. In particular, even in those Januaries for which the market return is negative, small-firm returns are positive, and they are more positive the higher is beta. This is consistent with the portfolio rebalancing explanation of the turn-of-the-year effect. Copyright 1989 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 44 (1989)
Issue (Month): 1 (March)
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- Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer, vol. 12(1), pages 21-38, August.
- Nofsinger, John R., 2001. "The impact of public information on investors," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1339-1366, July.
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