The january effect in financial markets: A review
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Title
The january effect in financial markets: A reviewAuthor (s)
Tutor/Supervisor
Matallín Sáez, Juan CarlosTutor/Supervisor; University.Department
Universitat Jaume I. Departament de Finances i ComptabilitatDate
2015-01-28Publisher
Universitat Jaume IAbstract
The work consists of doing a literature review about “The January effect” or “Turn of the
year”. Nowadays January effect is considered one of the most important stock
exchange's anomalies, we focus in its historical ... [+]
The work consists of doing a literature review about “The January effect” or “Turn of the
year”. Nowadays January effect is considered one of the most important stock
exchange's anomalies, we focus in its historical evolution and its presence in different
countries, considering some of these such as the relevant.
The different causes which explain the January effect have a fundamental role in this
work. We make an exhaustive analysis about the possible causes of the January
effect, being Tax loss selling hypothesis and Window-Dressing the most important
among all which exists.
There were few critiques advocated against the January effect, the supporters show
empirical studies demonstrating the January effect, while the opponents do the
opposite claiming theories.
In this work we come up with a general balance of the theoretical possibility to reason
the truthfulness of the January effect in different studies.
Once the research is done, we show that the majority of researchers verified and
continue verifying the truthfulness of the January effect, despite they asociated
differential causes for its existence. The January effect is only damaged deppending on
the way to estimate and the sample perido calculated. However currently the January
effect is an anomaly because continues happening, although due to the aknowleadge
of it, it has been lossing power.
During the cronollogy research it will be demostrated, that the January have lost
power, however it continues happening around the world. [-]
Subject
Description
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2013-2014
Type
info:eu-repo/semantics/bachelorThesisRights
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