Purpose – The purpose of this paper is to investigate the seasonal effect in the value premium puzzle. It studies whether the book-to-market effect is an outcome of the January effect observed among stock returns. Design/methodology/approach – The paper uses returns of portfolios based on...

Purpose – The purpose of this paper is to investigate the seasonal effect in the value premium puzzle. It studies whether the book‐to‐market effect is an outcome of the January effect observed among stock returns. Design/methodology/approach – The paper uses returns of portfolios based...