Journal of Finance Vol. 47 No. 2 1992
The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias.
Abstract
The January effect is primarily a low-share price effect and less so a market value effect. In the recent 1977-86 period, after-transaction-cost raw and excess January returns are lower on low-price stocks than on high-price stocks. Failure of informed traders to eliminate significantly large before-transaction-cost excess January returns on low-price stocks is potentially explained by higher transactions costs and a bid-ask bias. At the least, the January anomaly found in prior tests is not persistent and, thereby, not likely to be exploitable by typical investors.
- Volume
- 47
- Issue
- 2
- Pages
- 553-75
- Sources
- bibtex:phds-export.bib