Lisa R. Anderson () (Department of Economics, College of William and Mary) Jeffrey R. Gerlach () (Department of Economics, College of William and Mary) Francis J. DiTraglia () (Department of Economics, College of William and Mary)
Abstract
In 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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Department of Economics, College of William and Mary in its series Working Papers with number
15.