Portal de Periódicos da CAPES

The other January effect: International, style, and subperiod evidence

2009; Elsevier BV; Volume: 12; Issue: 3 Linguagem: Inglês

10.1016/j.finmar.2009.01.001

1878-576X

Chris T. Stivers, Licheng Sun, Yong Sun,

Housing Market and Economics

We report international, style, and subperiod evidence for the other January effect (OJE) documented in Cooper et al. [2006. The other January effect. Journal of Financial Economics 82, 315–341]. When examining the OJE in 22 countries starting as early as 1801, we find that the spread between 11-month returns following positive and negative Januarys does tend to be positive. However, the spreads are rarely statistically significant and the returns of other calendar months exhibit similar subsequent 11-month return spreads. Further, the international OJE spreads and the OJE spreads in disaggregate U.S.-style portfolios are more related to the U.S. market-level January return, rather than the respective country-specific or portfolio-specific January return. Finally, the OJE is weaker over the 1975–2006 post-discovery period than over the 1940–1974 pre-discovery period. Our evidence indicates that the OJE is primarily a U.S. market-level-based phenomenon that has diminished over time, which suggests a ‘temporary anomaly’ interpretation.