January Effect and Other Seasonal Anomalies

Texte du rabat

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. This book provides a literature review along with identification and empirical examinations of the intergenerational transfers hypothesis, special closings of the NYSE.

Contenu
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.