The Other January Effect: Evidence against market efficiency?
The Other January Effect (OJE), which suggests positive (negative) equity market returns in January predict positive (negative) returns in the following 11Â months of the year, underperforms a simple buy-and-hold strategy before and after risk-adjustment. Even the best modified OJE strategy, which benefits from several ex-post adjustments, does not generate statistically or economically significant excess returns. When the OJE is tested with a method that is consistent with investor experience it is clear the OJE is no more profitable than an 11-month strategy that uses November or December as the conditioning month.
Year of publication: |
2010
|
---|---|
Authors: | Marshall, Ben R. ; Visaltanachoti, Nuttawat |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 34.2010, 10, p. 2413-2424
|
Publisher: |
Elsevier |
Keywords: | Other January Effect January barometer Seasonality Return predictability Quantitative investment |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Is there momentum or reversal in weekly currency returns?
Raza, Ahmad, (2014)
-
Liquidity measurement in frontier markets
Marshall, Ben R., (2013)
-
Liquidity commonality in commodities
Marshall, Ben R., (2013)
- More ...