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January Anomalies: Implications for the Market's Incorporation of News
Authors:Rohan Christie-David  Mukesh Chaudhry
Institution:University of Southern Mississippi;Marshall University
Abstract:We examine the responses of five interest rate instruments to the release of macroeconomic announcements to determine whether January returns behave differently from returns in other months when information is released. Our results suggest that in all instruments, returns in January are less sensitive to macroeconomic news, compared with other months. This is true even though the number and type of announcements are much the same in January as in other months. The instruments examined feature important differences in liquidity, maturity, credit risk, and other institutional differences, suggesting that our evidence is robust.
Keywords:new releases  variance  January  anomaly  interest rate markets
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