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A Refutation of the Existence of the Other January Effect-super-

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  • STEPHEN A. EASTON
  • SEAN M. PINDER

Abstract

Cooper et al. report US evidence of the 'other January effect,' where returns in January are shown to have predictive power for returns over the subsequent 11 months. We re-examine the latest sub-period that they examine and find that the results using excess returns are not unique to January and that the effect for January is not apparent for raw returns. Further, using excess (raw) return data for 38 (44) other countries, limited support is found for the other January effect, with eight (five) of the remaining 11 months demonstrating a statistically significant effect in at least as many countries as exhibited the 'other January effect.' Further, there is no evidence to suggest that different tax-year ends across countries can explain the result. Copyright (c) International Review of Finance Ltd. 2007.

Suggested Citation

  • Stephen A. Easton & Sean M. Pinder, 2007. "A Refutation of the Existence of the Other January Effect-super-," International Review of Finance, International Review of Finance Ltd., vol. 7(3-4), pages 89-104.
  • Handle: RePEc:bla:irvfin:v:7:y:2007:i:3-4:p:89-104
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    References listed on IDEAS

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    1. Richardson, Matthew & Stock, James H., 1989. "Drawing inferences from statistics based on multiyear asset returns," Journal of Financial Economics, Elsevier, vol. 25(2), pages 323-348, December.
    2. K. Geert Rouwenhorst, 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, vol. 53(1), pages 267-284, February.
    3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    4. Cooper, Michael J. & McConnell, John J. & Ovtchinnikov, Alexei V., 2006. "The other January effect," Journal of Financial Economics, Elsevier, vol. 82(2), pages 315-341, November.
    5. Reinganum, Marc R & Shapiro, Alan C, 1987. "Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange," The Journal of Business, University of Chicago Press, vol. 60(2), pages 281-295, April.
    6. John M. Griffin & Xiuqing Ji & J. Spencer Martin, 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole," Journal of Finance, American Finance Association, vol. 58(6), pages 2515-2547, December.
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    Cited by:

    1. repec:eee:quaeco:v:66:y:2017:i:c:p:169-181 is not listed on IDEAS
    2. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
    3. Stivers, Chris & Sun, Licheng & Sun, Yong, 2009. "The other January effect: International, style, and subperiod evidence," Journal of Financial Markets, Elsevier, vol. 12(3), pages 521-546, August.

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