Is the January effect rational? Insights from the accounting valuation model

Easterday, Kathryn E.; Sen, Pradyot K.

doi:10.1016/j.qref.2015.05.001

Cited by 9 publications

(8 citation statements)

References 93 publications

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“…It is thus suggested that the January effect seasonality already shown in the return on equities in different financial markets (Al-Khazali & Mirzaei, 2017;Caporale & Zakirova, 2017;Easterday & Sen, 2016;Seif et al, 2017;Shiu et al, 2014) can also be observed in the net inflow of mutual funds that invest most of the assets of their portfolios in the stock exchange, since the average net inflow of these funds was statistically greater in the month of January than in other months of the year.…”

Section: Results Analysismentioning

confidence: 98%

“…Behavioral patterns in the assets that compose the financial market have been revealed by the literature (Al-Khazali & Mirzaei, 2017;Caporale & Zakirova, 2017;Easterday & Sen, 2016;Seif et al, 2017;Shiu et al, 2014) and are considered anomalies of the financial market, as they are not consistent with the market efficiency assumptions and are not based on rational decisions of economic agents (Keim, 1983). The effects of these anomalies are predictable variations in the behavior and/ or return of financial assets at regular calendar intervals, such as a particular day of the week, a specific month, or a seasonal period (Al-Khazali et al, 2008), presenting the possibility for investors to make predictions (Al-Khazali & Mirzaei, 2017).…”

Section: Theoretical Frameworkmentioning

confidence: 99%

“…Although the literature on seasonality, such as the January effect, concentrates on the stock market (Al-Khazali & Mirzaei, 2017;Caporale & Zakirova, 2017;Easterday & Sen, 2016;Seif et al, 2017;Shiu et al, 2014), Malaquias and Mamede (2015) argue that part of the assets that compose the financial market are the shares of mutual funds, which may also be affected by certain seasonal effects of the stock market if most of the portfolios of these funds are invested in stocks.…”

Section: Theoretical Frameworkmentioning

confidence: 99%

“…Although the literature on the seasonality presented in the month of January concentrates on the stock market (Al-Khazali & Mirzaei, 2017;Caporale & Zakirova, 2017;Easterday & Sen, 2016;Seif, Docherty, & Shamsuddin, 2017;Shiu, Lee, & Gleason, 2014), this seasonal effect can also be observed in equity mutual funds that allocate most of the assets of their portfolios in the stock market (Malaquias & Mamede, 2015), such as Brazilian equity funds, which invest at least 67% of their equity in stocks (Brazilian Securities and Exchange Commission [Comissão de Valores Mobiliários -CVM], 2014).…”

Section: Introductionmentioning

confidence: 99%

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Is the effect the same every January? Seasonality and Brazilian equity fund flows

Grossi

Malaquias

2020

Rev. contab. finanç.

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Based on the assumption that seasonal patterns have been identified in stock market assets and also in the context of equity mutual funds, the aim of this research is to investigate the relationship between the seasonality presented by the January effect and the net flow of Brazilian equity funds. The study extends the potential effects of seasonality beyond the return on stock market assets, demonstrating that seasonal patterns can also be observed in Brazilian mutual fund flows. The literature mostly points to common factors related to the performance of equity mutual funds; therefore this study investigates mutual fund flows, demonstrating that different factors influence the decisions of fund investors, including seasonal factors. The study has practical implications for fund managers, as it highlights a set of variables that can be used to anticipate variations in fund flow, reducing their effects on performance and avoiding costs. The results were estimated using panel data regression analysis. The study sample consisted of 1,010 equity funds, covering the period from January of 2004 to June of 2018. It was found that the average net inflow of Brazilian equity mutual funds is higher in January than in other months of the year, which characterizes the existence of a seasonal pattern in their net flows. However, the effect is different between exclusive and non-exclusive funds. As contributions, our findings: (i) provide a better understanding about the factors related to investor decision-making; (ii) point out new aspects in which exclusive and non-exclusive funds differ; and (iii) present factors that influence mutual fund flows.

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Section: Results Analysismentioning

confidence: 98%

Section: Theoretical Frameworkmentioning

confidence: 99%

Section: Theoretical Frameworkmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Is the effect the same every January? Seasonality and Brazilian equity fund flows

Grossi

Malaquias

2020

Rev. contab. finanç.

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“…He & He (2011) suggest that the January effect may have become November effect. However, some researchers argue that the January effect still exists for small firm stocks in U.S. equity markets (Ciccone, 2011, Dzhabarov and Ziemba, 2010, Mashruwala and Mashruwala, 2011, Ziemba, 2011, and Sikes, 2014, Easterdav and Sen, 2016, Mashruwala and Mashruwala, 2011. Gu and Simon (2007) and Gu (2015) reveal that January is a mediocre month since late 1980s.…”

Section: Introductionmentioning

confidence: 99%

Strong March Phenomenon and Weak January Effect in the U.S. Bond Market

Gu¹

2019

AFR

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The month of March has been the worst month for the U.S. bond market. Mean March return is the lowest among the twelve months’ and March experienced the lowest frequency of positive returns from 1987 through 2015. Returns of March are significantly negatively related to returns of all the other eleven months, to yields of 10-year U.S. Treasury bond, and to March returns of U.S. equity market. They are significantly positively related to annual returns of the U.S. bond market. There is a weak January effect in the U.S. bond market.

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