Yes, Wall Street, There Is a January Effect! Evidence from Laboratory Auctions
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.
|Date of creation:||28 Mar 2005|
|Date of revision:|
|Contact details of provider:|| Postal: P.O. Box 8795, Williamsburg, VA 23187-8795|
Phone: (757) 221-4311
Fax: (757) 221-2390
Web page: http://www.wm.edu/economics/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:cwm:wpaper:15. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Daifeng He)or (Alfredo Pereira)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.