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Is the January effect still alive in the futures markets?

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  • Juan Rendon
  • William Ziemba

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11408-007-0049-3
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    Bibliographic 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

    Related research

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

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    References

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    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
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    Cited by:
    1. Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
    2. Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.

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