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the January effect
Analysis of broad samples of value-weighted and equal-weighted returns of U.S. equities documents that abnormally high rates of return on small-capitalization stocks continue to be observed during the month of January. This January effect in small-cap stock returns is remarkably consistent over time and does not appear to have been affected by passage of the Tax Reform Act of 1986. This finding brings new perspective to the tax-loss selling hypothesis and suggests that behavioral explanations are relevant to the January effect. After a generation of intensive study, the January effect continues to present a serious challenge to the efficient market hypothesis.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6205 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Virginia: CFA Institute 2006 |
|---|---|
| Edisi | Vol. 62, No. 5, Sep. - Oct., 2006 |
| Subjek | Market efficiency Behavioral Finance small-cap stocks tax-loss selling hypothesis Fama-French Factors (SMB, HML, UMD) Tax Reform Act of 1986 |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 11 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |