Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 28, 2023 erstellt
Beschreibung:
In the last decades, the persistence over time of the January Effect was a controversial subject. Some studies concluded this calendar anomaly remained relatively unchanged since its discovery, while others found that it experienced a substantial decline or even disappeared. This paper explores the January Effect transformations on the United States Capital Market taking into consideration the possibility that specific time interval of this calendar anomaly enlarged to include, along with January, two sub-intervals: the second half of December and the first half of February. We employ closing daily values of four important indexes from the United States Capital Market for two periods: January 1992 – December 2010 and January 2011 – January 2023. In case of the first period, we couldn’t prove the existence of a significant seasonality associated to the whole extended time interval. However, we found, for one index, that returns from the second half of December were significantly higher than those from the rest of the year. For the second period, the results suggested that, for all four indexes, the returns from the time interval of mid-December – mid-February are abnormal high. We also found for the second half of December, in the case of one index, and for the first half of February, in the case of all four indexes, that returns were significantly higher than those from the rest of the year