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Is the January effect still alive in the futures markets?

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Author Info
Juan Rendon
William Ziemba ()
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File URL: http://hdl.handle.net/10.1007/s11408-007-0049-3
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Publisher Info
Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 21 (2007)
Issue (Month): 3 (September)
Pages: 381-396
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Handle: RePEc:kap:fmktpm:v:21:y:2007:i:3:p:381-396

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Web page: http://www.springerlink.com/link.asp?id=119763

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Related research
Keywords: January effect; Futures markets; Small capitalized stocks; G12; G14;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Ritter, Jay R, 1988. " The Buying and Selling Behavior of Individual Investors at the Turn of the Year," Journal of Finance, American Finance Association, vol. 43(3), pages 701-17, July. [Downloadable!] (restricted)
  2. Barry, Christopher B. & Brown, Stephen J., 1985. "Differential Information and Security Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 407-422, December. [Downloadable!]
  3. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March. [Downloadable!] (restricted)
  4. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June. [Downloadable!] (restricted)
  5. Eytan, T Hanan & Harpaz, Giora, 1986. " The Pricing of Futures and Options Contracts on the Value Line Index," Journal of Finance, American Finance Association, vol. 41(4), pages 843-55, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Bety Agnany & Henry Aray, 2007. "The January Effect across Volatility Regimes," ThE Papers 07/04, Department of Economic Theory and Economic History of the University of Granada.. [Downloadable!]
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