Investing in the Turn-of-the-Year Effect

The January effect is concerned with high stock returns in January, especially by small cap stocks. Transactions costs, especially price pressures, make it difficult to take advantage of this anomaly. However, these costs are minimal in the futures markets. This paper discusses the results of small minus large capitalized US stocks since futures trading began in 1982. There is some anticipation of the effect and in the futures markets; the anomaly still exists but is now totally in December