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January Anomalies: Implications for the Market's Incorporation of News

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  • Christie-David, Rohan
  • Chaudhry, Mukesh

Abstract

We examine the responses of five interest rate instruments to the release of macroeconomic announcements to determine whether January returns behave differently from returns in other months when information is released. Our results suggest that in all instruments, returns in January are less sensitive to macroeconomic news, compared with other months. This is true even though the number and type of announcements are much the same in January as in other months. The instruments examined feature important differences in liquidity, maturity, credit risk, and other institutional differences, suggesting that our evidence is robust. Copyright 2000 by MIT Press.

Suggested Citation

  • Christie-David, Rohan & Chaudhry, Mukesh, 2000. "January Anomalies: Implications for the Market's Incorporation of News," The Financial Review, Eastern Finance Association, vol. 35(2), pages 79-96, May.
    • Handle: RePEc:bla:finrev:v:35:y:2000:i:2:p:79-96
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    Cited by:

    1. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 85-101, March.
    2. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.

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