Yes, Wall Street, There Is a January Effect! Evidence from Laboratory Auctions
AbstractIn the first experimental test of the January effect, we find an economically large and statistically significant result in two very different auction environments. After controlling for variables that could influence subjectsÕ bids such as differences in private values, cumulative earnings, and learning effects, the prices in the January markets were systematically higher than those in December. The results suggest that psychological factors may contribute to the well-documented January effect in empirical stock market data, a conclusion that clearly violates the efficient markets hypothesis.
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Bibliographic InfoPaper provided by Department of Economics, College of William and Mary in its series Working Papers with number 15.
Length: 35 pages
Date of creation: 28 Mar 2005
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-03 (All new papers)
- NEP-CBE-2005-04-03 (Cognitive & Behavioural Economics)
- NEP-EXP-2005-04-03 (Experimental Economics)
- NEP-FMK-2005-04-03 (Financial Markets)
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- Priit Sander & Risto Veiderpass, 2012. "Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 145-154, December.
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