Journal of Business and Management

Journal of Business and Management

ISSN: 2291-1995 (Print)    ISSN: 2291-2002 (Online)

Volume 7 (2018), No. 1, Pages 20-25

DOI: 10.12735/jbm.v7n1p20

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If the January Effect Fails, Does Market Timing also Fail? Empirical Evidence from Calendar Month Returns

Huijian Dong1  Andrew Harris2 

1College of Business, Pacific University, USA
2A research associate at the Investment Project of College of Business, Pacific University, USA

URL: https://doi.org/10.12735/jbm.v7n1p20

To Cite this Article     Article Views: 58     Downloads: 44  Since deposited on 2018-03-25

Abstract

This paper uses the monthly average returns of the S&P 500 index and the Russell 2000 index for a determination of whether knowledge of the January Effect and timing in the market can lead an investor to a positive alpha, holding other conditions unchanged. The analysis conveys that the January Effect is not present neither in terms of the large cap stocks or the small cap stocks. It is appropriate to distinguish that although a higher return may be achieved through timing the market with respect to large firm stocks; such marginal return is not significant enough to cover trade and other associated costs. However, evidence supports timing the acquisition and sale of small firm stocks will lead to an advantage. Results show that timing the market to establish long positions will lead investors to an advantage solely in the small cap equities.

JEL Classifications: G10, G12, G14

Keywords: Efficient Market Hypothesis, EMH, January effect, market timing

To Cite this Article: Dong, H., & Harris, A. (2018). If the January effect fails, does market timing also fail? Empirical evidence from calendar month returns. Journal of Business and Management, 7(1), 20-25. https://doi.org/10.12735/jbm.v7n1p20

Copyright © H. Dong & A. Harris

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This article is published under license to Science and Education Centre of North America. This is an Open Access article distributed under the terms of the Creative Commons Attribution 4.0 International License.

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If the January Effect Fails, Does Market Timing also Fail? Empirical Evidence from Calendar Month Returns
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