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The Other January Effect: Evidence against market efficiency?

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  • Marshall, Ben R.
  • Visaltanachoti, Nuttawat

Abstract

The Other January Effect (OJE), which suggests positive (negative) equity market returns in January predict positive (negative) returns in the following 11Â months of the year, underperforms a simple buy-and-hold strategy before and after risk-adjustment. Even the best modified OJE strategy, which benefits from several ex-post adjustments, does not generate statistically or economically significant excess returns. When the OJE is tested with a method that is consistent with investor experience it is clear the OJE is no more profitable than an 11-month strategy that uses November or December as the conditioning month.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:jbfina:v:34:y:2010:i:10:p:2413-2424
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