January Return Seasonality in the U.S. Insurance Industry
This research employed a two-sample t-test to examine the January effect in the U.S. insurance industry over the period 1980–1999. Results of the two-sample t-test indicate that the mean January returns are significantly higher than non-January returns, and January returns for smaller firms are significantly higher than returns for larger firms. A stochastic dominance approach is used to determine whether the large January returns can be due to omitted risk factors. The results indicate that January returns dominate non-January returns by second-order stochastic dominance. Similarly, January returns for smaller insurers dominate those of larger insurers by second order stochastic dominance. Omitted risk factors are thus not a likely explanation of the January effect, in the case of the insurance industry.
Volume (Year): 27 (2004)
Issue (Month): 2 ()
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