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Is The Value Effect Seasonal? Evidence From Global Equity Markets

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  • Praveen Kumar Das
  • S. P. Uma Rao

Abstract

This paper extends the research on value premium by examining patterns of seasonality exhibited in the book-to-market effect in major global equity markets. The results provide evidence supporting the January effect in the value premium phenomenon. Using stock market indices for Asia Pacific; Europe, Australasia, and Far East (EAFE); and Europe, with and without the U.K., Scandinavian countries, the U.K., U.S., and Japan form 1975 through 2007, the paper provides out-of-sample evidence from twentyone countries that comprise different index portfolios. As a robustness measures, we use regression analysis, paired means tests, and non-parametric tests to examine whether the persistence of the anomalous January value premium is real and significant. The annualized excess January value premium ranges from 42.96 percent for Scandinavian countries to 9.24 percent for EAFE markets with 20.28 percent for U.S. Even though such a predictable pattern exists, our analysis suggests that large standard deviations would not allow a viable investment strategy.

Suggested Citation

  • Praveen Kumar Das & S. P. Uma Rao, 2012. "Is The Value Effect Seasonal? Evidence From Global Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(2), pages 21-33.
    • Handle: RePEc:ibf:ijbfre:v:6:y:2012:i:2:p:21-33
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    References listed on IDEAS

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    Cited by:

    1. Benjamin R. Auer, 2019. "Does the strength of capital market anomalies exhibit seasonal patterns?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 91-103, January.

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    More about this item

    Keywords

    Value premium; International equity market; January effect;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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