Journal articles: 'January effect'

1

Haug, Mark, and Mark Hirschey. "The January Effect." Financial Analysts Journal 62, no. 5 (2006): 78–88. http://dx.doi.org/10.2469/faj.v62.n5.4284.

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Pradhuman, Satya Dev. "The January Effect." Journal of Investing 5, no. 4 (1996): 75–78. http://dx.doi.org/10.3905/joi.5.4.75.

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Cheng, Lester C. "The Other January Effect." CFA Digest 37, no. 2 (2007): 62–63. http://dx.doi.org/10.2469/dig.v37.n2.4604.

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Thaler, Richard H. "Anomalies: The January Effect." Journal of Economic Perspectives 1, no. 1 (1987): 197–201. http://dx.doi.org/10.1257/jep.1.1.197.

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This feature will report successful searches for disconfirming evidence -- economic anomalies. As suggested by Thomas Kuhn, an economic anomaly is a result inconsistent with the present economics paradigm. Economics is distinguished from other social sciences by the belief that most (all?) behavior can be explained by assuming that agents have stable, well-defined preferences and make rational choices consistent with those preferences in markets that (eventually) clear. An empirical result is anomalous if it is difficult to “rationalize,” or if implausible assumptions are necessary to explain it within the paradigm. The first anomaly we will discuss is the “January effect.” Stock prices tend to rise in January, particularly the prices of small firms and firms whose stock price has declined substantially over the past few years. Also, risky stocks earn most of their risk premiums in January.

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COOPER, M., J. MCCONNELL, and A. OVTCHINNIKOV. "The other January effect☆." Journal of Financial Economics 82, no. 2 (2006): 315–41. http://dx.doi.org/10.1016/j.jfineco.2006.03.001.

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Plastun, Alex, and Vyacheslav Plastun. "January effect: 200 years of evolution in the us stock market." Geopolitics under Globalization 2, no. 1 (2018): 27–33. http://dx.doi.org/10.21511/gg.02(1).2018.04.

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This paper is a comprehensive investigation of the January Effect evolution in the US stock market over the period 1791–2015. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, Mann-Whitney test) and a trading simulation approach to analyze the evolution of this anomaly. The results suggest that January effect during the XVIII–XXI century passed the way from rise to fall. The rise of the January Effect starts in the end of the XIX century and this anomaly mostly disappeared in middle of the XX century. Nowadays the January Effect is not present in the US stock market, but even today January stays one of the best months for purchases in the US stock market.

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Franses, Philip Hans. "Correcting the January optimism effect." Journal of Forecasting 39, no. 6 (2020): 927–33. http://dx.doi.org/10.1002/for.2670.

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Sun, Qian, and Wilson H. S. Tong. "Risk and the January effect." Journal of Banking & Finance 34, no. 5 (2010): 965–74. http://dx.doi.org/10.1016/j.jbankfin.2009.10.005.

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Munica, Firrisa Tsamara, and Irni Yunita. "ANALISIS JANUARY EFFECT TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA PERIODE 2015-2019." Jurnal Mitra Manajemen 4, no. 1 (2020): 76–85. http://dx.doi.org/10.52160/ejmm.v4i1.323.

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January effect adalah kondisi dimana return saham bulan Januari lebih tinggi dari rata-rata return bulan selain Januari. Tujuan dari penelitian ini adalah untuk mengetahui apakah terjadi January effect di Bursa Efek Indonesia atau tidak terjadi. Jika ada perbedaan return saham bulan Januari dengan rata-rata return bulan selain januari maka terjadi January effect, begitu pula sebaliknya. Data yang digunakan dalam penelitian ini adalah data sekunder. Penelitian ini menggunakan sampel seluruh perusahaan yang terdaftar di Bursa Efek Indonesia periode 2015-2019 dengan menggunakan data Indeks Harga Saham Gabungan (IHSG). Analisis data yang digunakan dalam penelitian ini adalah Uji One way ANOVA. Hasil dari analisis data yang telah dilakukan menunjukkan bahwa tidak terdapat perbedaan return saham pada bulan Januari dengan rata-rata return saham selain bulan Januari di Bursa Efek Indonesia periode 2015-2019, sehingga dapat disimpulkan bahwa di Bursa Efek Indonesia Periode 2015-2019 tidak terjadi January effect.

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Keim, Donald B. "Dividend yields and the January effect." Journal of Portfolio Management 12, no. 2 (1986): 54–60. http://dx.doi.org/10.3905/jpm.1986.409042.

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11

Kramer, Charles. "Macroeconomic Seasonality and the January Effect." Journal of Finance 49, no. 5 (1994): 1883. http://dx.doi.org/10.2307/2329275.

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Bohl, Martin T., and Christian A. Salm. "The Other January Effect: international evidence." European Journal of Finance 16, no. 2 (2009): 173–82. http://dx.doi.org/10.1080/13518470903037953.

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Agnani, Betty, and Henry Aray. "The January effect across volatility regimes." Quantitative Finance 11, no. 6 (2011): 947–53. http://dx.doi.org/10.1080/14697680903540373.

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KEAMER, CHAELES. "Macroeconomic Seasonality and the January Effect." Journal of Finance 49, no. 5 (1994): 1883–91. http://dx.doi.org/10.1111/j.1540-6261.1994.tb04785.x.

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15

Cromwell, Nancy O., H. Swint Friday, and James A. Yoder. "Equity REITs and the January Effect." Journal of Alternative Investments 2, no. 4 (2000): 62–69. http://dx.doi.org/10.3905/jai.2000.318979.

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16

Perez, Gerardo “Gerry” Alfonso. "Does the January Effect Still Exists?" International Journal of Financial Research 9, no. 1 (2017): 50. http://dx.doi.org/10.5430/ijfr.v9n1p50.

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The issue of the January Effect has attracted a lot of interest by both practitioners and researchers. The idea that stock returns in January are statistically bigger than in other months was first presented several decades ago. This study analyzes the issue of the January effect in a systematic and global way of studying the performance of 106 indexes in 86 countries and jurisdictions. It was observed that while this effect can still be appreciated in some markets it would appear that it is decreasing globally over time. It was also found that there appears to be an Inverted January Effect in several markets with the returns in January being lower than the returns in some other months. This analysis was performed with nonparametric tests. The hypothesis that the returns of the indexes do not follow in general a normal distribution was also confirmed with several tests.

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17

Gamble, Ralph C. "The January effect and intergenerational transfers." Quarterly Review of Economics and Finance 33, no. 3 (1993): 295–304. http://dx.doi.org/10.1016/1062-9769(93)90016-d.

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Moller, Nicholas, and Shlomo Zilca. "The evolution of the January effect." Journal of Banking & Finance 32, no. 3 (2008): 447–57. http://dx.doi.org/10.1016/j.jbankfin.2007.06.009.

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19

Athanassakos, George. "The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada." Multinational Finance Journal 6, no. 1 (2002): 1–27. http://dx.doi.org/10.17578/6-1-1.

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Wang, T. L., B. M. Fu, G. Ngai, and P. Yung. "Effect of isokinetic training on shoulder impingement." Genetics and Molecular Research 13, no. 1 (2014): 744–57. http://dx.doi.org/10.4238/2014.january.31.1.

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21

Tang, G. Y. N., and K.-h. Kwok. "Day of the week effect in international portfolio diversification: January vs non-January." Japan and the World Economy 9, no. 3 (1997): 335–52. http://dx.doi.org/10.1016/s0922-1425(96)00234-4.

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22

Truong, Cameron. "The January effect, does options trading matter?" Australian Journal of Management 38, no. 1 (2012): 31–48. http://dx.doi.org/10.1177/0312896212440267.

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23

SEYHUN, H. NEJAT. "The January Effect and Aggregate Insider Trading." Journal of Finance 43, no. 1 (1988): 129–41. http://dx.doi.org/10.1111/j.1540-6261.1988.tb02593.x.

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24

Chieffe, Natalie, Nancy O. Cromwell, and James A. Yoder. "Fixed-Income Securities and the January Effect." Journal of Wealth Management 3, no. 2 (2000): 46–51. http://dx.doi.org/10.3905/jwm.2000.320385.

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Chou, Julia, Praveen Kumar Das, and S. P. Uma Rao. "The value premium and the January effect." Managerial Finance 37, no. 6 (2011): 517–36. http://dx.doi.org/10.1108/03074351111134727.

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Dbouk, Wassim, Ibrahim Jamali, and Lawrence Kryzanowski. "The January effect for individual corporate bonds." International Review of Financial Analysis 30 (December 2013): 69–77. http://dx.doi.org/10.1016/j.irfa.2013.06.001.

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27

Chen, Lein-Lein, and Raymond P. H. Fishe. "Seasonal money movements and the January effect." Atlantic Economic Journal 22, no. 4 (1994): 26–42. http://dx.doi.org/10.1007/bf02298857.

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Ratrini, Gusti Ayu, and I. Wayan Suartana. "January Effect di Indonesia Periode 2017 – 2019." E-Jurnal Akuntansi 31, no. 3 (2021): 756. http://dx.doi.org/10.24843/eja.2021.v31.i03.p18.

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The January Effect is one of the seasonal anomalies, which reveals that stock returns in January tend to be higher than in months other than January. This study aimed to examine and analyze the existence of the January effect using abnormal return and trading volume activity (TVA) variables. The presence of the January Effect was researched on companies listed on the Indonesia Stock Exchange (IDX) and continues to be included in the Investor33 Index during 2017-2019. The samples studied were 25 companies. It was selected using purposive sampling method. The results of the normality test showed that the data was not normally distributed. Thus, only the non-parametric test, namely the Wilcoxon Signed Rank Test, can be used as a data analysis technique. Based on the analysis conducted, it was found that there was a significant difference in abnormal returns and no significant difference in TVA in January and other than January. Therefore, it can be concluded that statistically, the January Effect occurred in Indonesia during the test period indicated by abnormal returns. Keywords: January Effect; Abnormal Return; TVA.

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29

Easterday, Kathryn E. "The January effect anomaly: effect on the returns-earnings association." American Journal of Business 30, no. 2 (2015): 114–46. http://dx.doi.org/10.1108/ajb-08-2014-0048.

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Purpose – The purpose of this paper is to examine the January effect, a well-documented capital markets pricing anomaly in which January return premiums are observed to be on average higher than in other months of the year. Extant literature focusses primarily on investor trading behaviors and incentives. This study is different in that it investigates the link between the unusually high returns characteristic of the January effect and accounting earnings, a popular measure that investors use to judge firm value. Design/methodology/approach – The empirical model used in this study is derived from the analytical framework of Ohlson (1995) and Feltham and Ohlson (1995), which explains returns as a function of current and future accounting earnings. Isolating firms that exhibit January effect return premiums from those that do not offers a deeper look at the characteristics of the anomaly. Regression analyses are carried out using a modified Fama-MacBeth (1973) methodology. Quarterly earnings and returns data are drawn from Compustat and CRSP. Findings – The main finding is that the association between January returns and first quarter earnings is unexpectedly and significantly negative, not positive as predicted by the model. Coefficient signs for the other three quarters behave as expected. Additional analyses highlight a difference in the returns-earnings association between firms affected by the anomaly and those that are not. Robustness checks indicate that the findings are not spurious. Originality/value – Rather than applying trading or multifactor economic models that rely on some level of market inefficiency or irrational investor behavior, this study uses an accounting valuation approach that relies on neither. The unexpected negative association between January effect returns and earnings suggests that other factor(s) besides earnings may play into valuation judgments for investors in such firms, and invites further research.

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Prihatiningsih, Prihatiningsih, and Mohammad Rois. "Studi Analisis Fenomena January Effect Saham Bank Umum Pemerintah Periode 2016-2019." Jurnal Pasar Modal dan Bisnis 3, no. 1 (2021): 133–44. http://dx.doi.org/10.37194/jpmb.v3i1.65.

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Penelitian ini bertujuan untuk menganalisis apakah terjadi fenomena (January Effect) pada Saham Perusahaan Perbankan yang termasuk dalam LQ-45 dan terdaftar di Bursa Efek Indonesia Periode 2016 - 2019, dengan melihat dari perbedaan return saham dan trading volume activity bulan Januari dan bulan selain Januari. Populasi dari penelitian ini adalah Saham Perusahaan Perbankan yang termasuk dalam LQ-45 yang terdaftar di Bursa Efek Indonesia, dimana 3 perusahaan dipilih sebagai sampel menggunakan teknik purposive sampling. Teknik analisis data dilakukan dengan Uji One Way ANOVA dan Non Parametrik Kruskall Wallis. Hasil analisis penelitian menunjukkan bahwa terdapat perbedaan yang signifikan return saham bulan Januari dengan bulan lainnya, dan terdapat perbedaan yang signifikan pada trading volume activity pada bulan Januari dengan bulan lainnya, namun return saham dan trading volume activity bulan Januari bukan yang tertinggi diantara bulan yang lainnya, sehingga January Effect tidak terbukti terjadi pada Perusahaan Perbankan yang termasuk dalam LQ-45 dan terdaftar di Bursa Efek Indonesia Periode 2016 -2019.

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31

Alves, L. R., R. C. Antunes, R. B. Andrade, et al. "Effect of the halothane genotype on intramuscular fat deposition in swine." Genetics and Molecular Research 13, no. 1 (2014): 363–70. http://dx.doi.org/10.4238/2014.january.21.4.

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32

Patel, Jayen B. "The January Effect Anomaly Reexamined In Stock Returns." Journal of Applied Business Research (JABR) 32, no. 1 (2015): 317. http://dx.doi.org/10.19030/jabr.v32i1.9540.

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<p>We examined the presence of January effect in international stock returns for the recent time period, January 1997 to December 2014. Our results provide conclusive evidence that January effect no longer exists in stock returns during recent years. These results were remarkably consistent when we investigated existence of January effect by sub-periods separating the time period of 2008-09 when stock market largely plummeted internationally. The results of this study support growing literature that indicates January effect does not exist anymore in stock returns. <strong></strong></p>

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33

He, Ling T., and Shao C. He. "Has the November Effect Replaced the January Effect in Stock Markets?" Managerial and Decision Economics 32, no. 7 (2011): 481–86. http://dx.doi.org/10.1002/mde.1548.

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34

Magiera, Frank T. "All Things Considered, Taxes Drive the January Effect." CFA Digest 35, no. 1 (2005): 77. http://dx.doi.org/10.2469/dig.v35.n1.1633.

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35

Athanassakos, George. "Portfolio Rebalancing and the January Effect in Canada." Financial Analysts Journal 48, no. 6 (1992): 67–78. http://dx.doi.org/10.2469/faj.v48.n6.67.

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36

Rogalski, Richard J., and Seha M. Tinic. "The January Size Effect: Anomaly or Risk Mismeasurement?" Financial Analysts Journal 42, no. 6 (1986): 63–70. http://dx.doi.org/10.2469/faj.v42.n6.63.

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37

Shen, Yujan, Chienjen Hung, Jrjung Chiou, and Kuanfu Shen. "The January Effect and Prospect Theory in Taiwan." Emerging Markets Finance and Trade 56, no. 5 (2019): 1113–23. http://dx.doi.org/10.1080/1540496x.2019.1598367.

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38

Chen, Honghui, and Vijay Singal. "ALL THINGS CONSIDERED, TAXES DRIVE THE JANUARY EFFECT." Journal of Financial Research 27, no. 3 (2004): 351–72. http://dx.doi.org/10.1111/j.1475-6803.2004.00095.x.

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39

Ciccone, Stephen J. "Investor Optimism, False Hopes and the January Effect." Journal of Behavioral Finance 12, no. 3 (2011): 158–68. http://dx.doi.org/10.1080/15427560.2011.602197.

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40

Beladi, Hamid, Chi Chur Chao, and May Hu. "Another January effect—Evidence from stock split announcements." International Review of Financial Analysis 44 (March 2016): 123–38. http://dx.doi.org/10.1016/j.irfa.2016.01.007.

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41

Marshall, Ben R., and Nuttawat Visaltanachoti. "The Other January Effect: Evidence against market efficiency?" Journal of Banking & Finance 34, no. 10 (2010): 2413–24. http://dx.doi.org/10.1016/j.jbankfin.2010.03.019.

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42

Liu, C. Y., L. L. Zhou, Q. Cheng, et al. "Effect of bradykinin on renal mesangial cell proliferation and extracellular matrix secretion." Genetics and Molecular Research 13, no. 1 (2014): 490–98. http://dx.doi.org/10.4238/2014.january.21.18.

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43

Podgórski, Błażej. "Impact of the January Effect on Return Rates in the Markets of the 2004 EU Enlargement." Journal of Management and Business Administration. Central Europe 26, no. 1 (2018): 27–48. http://dx.doi.org/10.7206/jmba.ce.2450-7814.218.

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44

Ramírez-Ramírez, R., M. Gutierrez-Angulo, M. T. Magaña, et al. "Effect of ZNF217 gene polymorphisms on colorectal cancer development in a Mexican population." Genetics and Molecular Research 14, no. 1 (2015): 362–67. http://dx.doi.org/10.4238/2015.january.23.9.

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45

Yunita, Ni Kadek Ema, and Henny Rahyuda. "PENGUJIAN ANOMALI PASAR (JANUARY EFFECT) DI BURSA EFEK INDONESIA." E-Jurnal Manajemen Universitas Udayana 8, no. 9 (2019): 5571. http://dx.doi.org/10.24843/ejmunud.2019.v08.i09.p11.

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The January effect is a phenomenon of deviation from the form of efficient capital markets, where the average return in January is higher than in other months. The purpose of this research is to find out whether there is a January effect on the IDX30 index group companies on the Indonesia Stock Exchange in the period February 2013 to January 2018. This study uses secondary data in the form of monthly stock price data used closing price on the Indonesia Stock Exchange. The sample used was 17 companies. The test results using the SPSS program is a t-test which shows that there is no difference in abnormal stock returns in January with months other than January. So, it can be concluded that the phenomenon of the January Effect does not occur in the Indonesian capital market. Keywords: january Effect, abnormal return, IDX30 Index

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46

Hendrawaty, Ernie, and Raden Ayu Fiska Huzaimah. "Testing of January Effect, the Day of the Week Effect, and Size Effect: a Study of LQ45 Stocks in Indonesia Stock Exchange." Jurnal Dinamika Manajemen 10, no. 2 (2020): 173–84. http://dx.doi.org/10.15294/jdm.v10i2.20620.

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The purpose of this study is to examined the anomalies on the efficient capital market. However, research that combines January Effect, the day of the week Effect, and size Effect of getting a complete and clear picture of the phenomenon on the market is still limited. The variables used are stock returns, trading days, company size. This study uses linear panel regression. The January Effect hypothesis in The Indonesian Capital Market does not support, whereas the combined test conducted to differentiate the behavioral pattern of the days of the week Effect and the size Effect in January and Non-January months. The study proved the hypothesis which states that seasonal pattern dominated occurs in January trading months, while the size pattern occurs in Non-January trading months. In the future, the arguments about the emergence of the day of the week Effect phenomenon in the Indonesian capital market by revealing the role of investors and essential information as factors that cause the phenomenon to arise. Further studies should continue to use all listed stocks but use a more extended period.

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47

Abdelzaher, Mai Ahmed. "The Impact of January Events on Stock Performance in the Egyptian Stock Market." Accounting and Finance Research 8, no. 1 (2019): 174. http://dx.doi.org/10.5430/afr.v8n1p174.

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The aim of this paper is to evaluate the impact of the January25 revolution on stock performance in the Egyptian market during 2010–2012 by analyzing its effects on trading volume, market return fluctuation, and closing price. These variables are analyzed pre- and post-January25 revolution using the descriptive statistics group unit root test, cointegrating equation model, GARCH model, and ARCH model. The results indicate that there is a significant positive relation between the January events and return fluctuation and no significant effect between the January events and trading volume; however, the trading volume decreased before, during, and after these events, and there is a significant negative relation between the January events and closing price.

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Qin, T., C. J. Liu, H. W. Zhang та ін. "Effect of the IkBα mutant gene delivery to mesenchymal stem cells on rat chronic pancreatitis". Genetics and Molecular Research 13, № 1 (2014): 371–85. http://dx.doi.org/10.4238/2014.january.21.5.

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Huang, X. Q., R. Q. He, X. Y. Liao, et al. "Effect of exogenous gibberellin on reserve accumulation during the seed filling stage of oilseed rape." Genetics and Molecular Research 13, no. 2 (2014): 2827–39. http://dx.doi.org/10.4238/2014.january.22.7.

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Wu, C., T. Wang, J. Wang, B. Qu, H. Wang, and Y. Hu. "Effect of radiotherapy on the treatment of patients with extensive stage small cell lung cancer." Genetics and Molecular Research 13, no. 4 (2014): 8577–85. http://dx.doi.org/10.4238/2014.january.24.7.

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Journal articles on the topic 'January effect'

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