Further evidence of the November effect

Johnston, Ken; Paul, Chris

doi:10.1007/bf02761559

Cited by 6 publications

(4 citation statements)

References 17 publications

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“…Their results are based on quarterly mutual fund ownership data. Johnston and Paul () point out that the quarterly measurement may miss the November effect. Their results, based on a sample of 1988–1996, indicate that the November effect is limited to the first week of November, and this effect is not driven by any particular year.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

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Has the November Effect Replaced the January Effect in Stock Markets?

2011

Manage. Decis. Econ.

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Results of previous studies support the November effect of the 1986 Tax Reform Act (TRA) on certain stock portfolios. The rapid growth of mutual funds driven by the fundamental changes in the retirement benefit system in past decades may expand the seasonality from portfolios to stock markets and lead to a replacement of the January effect with the November effect in stock markets. Results of this study support the January effect in the large-cap and smallcap stock markets in the pre-TRA period, although the January effect may share a large portion of co-variation with the size effect. However, the November effect is independent of the size effect. Furthermore, a major shifting process of the January effect to the November effect occurs in both the large-cap and small-cap stock markets. The significant result of the November effect in the post-TRA period questions the claim that fund managers are capable in mitigating potential price pressures.

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Section: Introduction and Literature Reviewmentioning

confidence: 99%

“…Nevertheless, previous studies report supportive evidence of the November effect only for some small portfolios that meet certain size or mutual fund ownership requirements. For instance, Johnston and Paul's (2005) findings are only applied to portfolios containing up to 75 stocks.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

Has the November Effect Replaced the January Effect in Stock Markets?

2011

Manage. Decis. Econ.

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“…Although much rare, such anomalies have been identified in other months as well. For example, some markets have documented anomalies related to the month of November [33][34][35].…”

Section: Calendar Market Anomaliesmentioning

confidence: 99%

Personalized Temporal Trading Functionalities Engaged in Calendar Market Anomalies: Empirical Evidences from the 2007 and 2009 Financial Crises

Basdekidou¹

2016

J Bus Fin Aff

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“…The intuition behind these studies is that if tax‐loss selling is an important reason for the observed January effect, then similarly, the 1986 TRA should cause a November effect in the stock market. Existing studies provide evidence that a November effect is observed in the post‐TRA period, and this effect is likely to reflect mutual funds' tax‐loss‐selling behaviour (Bhabra et al ., ; Johnston and Paul, ; He and He, ).…”

Section: Prior Research and Hypotheses Developmentmentioning

confidence: 99%

Does the accruals quality premium arise from information risk?

Li-juan

Wilson

2016

Accounting & Finance

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In this study, we examine whether the accruals quality premium arises from information risk through the following: (i) an investigation of the accruals quality (AQ) premium conditioned by market competition levels; (ii) a test of the impact of an exogenous shock on tax-loss-selling incentives; and (iii) an examination of the quality of specific accruals. Consistent with an information risk explanation, we find that the pricing effect of AQ is concentrated in firms with low market competition; that tax-loss selling is unlikely to explain the observed AQ premium; and that specific accruals quality measures which are more likely to reflect information risk are priced.

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Further evidence of the November effect

Cited by 6 publications

References 17 publications

Has the November Effect Replaced the January Effect in Stock Markets?

Has the November Effect Replaced the January Effect in Stock Markets?

Personalized Temporal Trading Functionalities Engaged in Calendar Market Anomalies: Empirical Evidences from the 2007 and 2009 Financial Crises

Does the accruals quality premium arise from information risk?

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