The January Effect and the Global Value-Growth Premium

Behavioral Finance and Capital Markets

“…These markets did not, however, display a relationship between the seasonality of returns and company size that would be as strong as the one observed in the United States. This was also confirmed by more recent studies by Arshanapalli, Coggin, and Nelson (2002). It is worth mentioning that the January effect was also present in countries where there capital profits are not taxed (e.g., Japan- Kiyoshi, 1985) as well as those where the end of the tax year does not correspond to the end of the calendar year (e.g., the United Kingdom- Reinganum and Shapiro, 1987;Hillier and Marshall, 2002;Zhang and Jacobsen, 2013;Australia-Brown et al, 1983).…”