Do Arbitragers Exploit the January Effect?

Dennis J. Lasser, Xue Wang

PDF(879 KB)
PDF(879 KB)
Front. Bus. Res. China ›› 2015, Vol. 9 ›› Issue (4) : 481-515. DOI: 10.3868/s070-004-015-0019-1
Research article

Do Arbitragers Exploit the January Effect?

Author information +
History +

Abstract

The January effect has been well documented since the 1970s. This study examines whether the January effect still exists and if it does, whether arbitrageurs exploit it. We find that the January effect is still persistently significant. Furthermore, we find that arbitrageurs appear to exploit the January effect, especially in good market years when the number of losing firms is limited and are therefore more easily identifiable. We also find that the January effect tends to be higher for losing stocks with high arbitrage costs relative to those with low arbitrage costs.

Keywords

January effect / tax-loss selling / arbitrage costs / market efficiency

Cite this article

Download citation ▾
Dennis J. Lasser, Xue Wang. Do Arbitragers Exploit the January Effect?. Front. Bus. Res. China, 2015, 9(4): 481‒515 https://doi.org/10.3868/s070-004-015-0019-1

RIGHTS & PERMISSIONS

2014 Higher Education Press and Brill
PDF(879 KB)

Accesses

Citations

Detail

Sections
Recommended

/