January Effect and Other Seasonal Anomalies

Erscheinungsjahr 2000
ISBN: 978-0-7623-0552-0
Verlag: Jai Press Inc.

Buch, Englisch, 344 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 681 g

Reihe: Studies in Managerial and Financial Accounting

This book applies John Maynard Keynes' theory of investor liquidity preferences to the examination of the stock market literature on the January effect and other seasonal anomalies. Keynes' theory provides a common theoretical framework and represents a paradigm shift for the examination of all seasonals. An extensive literature review is provided along with identification and empirical examinations of the intergenerational transfers hypothesis, special closings of the New York Stock Exchange, tax (estimated tax) payment effects, and an historical/contemporary retail merchandising industry seasonal. Databases used for empirical tests include the Stock Index and Market Seasonals (SIMS) database, the Cowles Index and contemporary Standards and Poor's counterparts, and the Internal Revenue Service's Statistic of Income public use file.

Autoren/Hrsg.

Epstein, Marc J.

Savage, Arline A.

Fachgebiete

• Interdisziplinäres Wissenschaften Wissenschaften: Allgemeines Geschichte der Human- und Sozialwissenschaften
• Geisteswissenschaften Geschichtswissenschaft Geschichtliche Themen Wissenschafts- und Universitätsgeschichte
• Interdisziplinäres Wissenschaften Wissenschaften: Allgemeines Geschichte der Naturwissenschaften, Formalen Wissenschaften & Technik
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Controlling, Wirtschaftsprüfung, Revision

Inhaltsverzeichnis

Preface. An Introduction to Keynes' Common Theoretical Framework for All Seasonal Anomalies. Keynes' theory of liquidity preferences. Contemporary Explanations for the January Effect. Tax loss selling and the January effect. The intergenerational transfers hypothesis and the January effect. Capital asset pricing model misspecification and the January effect. Seasonal information flows and the January effect. Window dressing and the January effect. Seasonals Other than the January Effect. The weekend and day-of-the-week effects. The holiday effect. Tax (estimated) tax payment effects. End-of-the-month/turn-of-the-month effects. Month-of-the-year effects. The January Effect and Other Seasonals - A Summary. An historical/contemporary retail merchandising seasonal? The Stock Index and Market Seasonals database. Summary and suggestions for further research. Annotated bibliography. Acronyms. Glossary of hypotheses and terms.