IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v23y2013i18p1457-1468.html
   My bibliography  Save this article

Can you capitalize on the turn-of-the-year effect?

Author

Listed:
  • S. Beyer
  • L. Garcia-Feijoo
  • G. R. Jensen

Abstract

Previous research identifies evidence of a strong seasonal pattern in returns, whereby returns are systematically higher in January. The most widely advanced explanation for this turn-of-the-year (or January) effect relies on tax-based trading; however, researchers have proposed a variety of alternative explanations. The relevance of the January effect for investors has been questioned due to the inconsistency in the phenomenon. We find evidence indicating that a strategy that targets small, out-of-favour stocks allows investors to achieve superior performance in January. Furthermore, we find that market indicators can be used to improve the consistency of the strategy. Finally, we advance a theory to explain the observed superior performance of the proposed investment strategy.

Suggested Citation

  • S. Beyer & L. Garcia-Feijoo & G. R. Jensen, 2013. "Can you capitalize on the turn-of-the-year effect?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(18), pages 1457-1468, September.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1457-1468
    DOI: 10.1080/09603107.2013.831168
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09603107.2013.831168
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603107.2013.831168?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    2. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
    3. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    4. Rajesh Elangovan & Francis Gnanasekar Irudayasamy & Satyanarayana Parayitam, 2022. "Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 449-476, September.
    5. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
    6. KUMAR Satish, 2017. "A Review On The Evolution Of Calendar Anomalies," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 95-109, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:23:y:2013:i:18:p:1457-1468. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.