Seasonality in outliers of daily stock returns: A tail that wags the dog?

We document significant intra-year seasonality in outliers of S&P500 daily rates of return. Controlling for outliers in dummy regressions reveals that both the January and Monday effects turn from insignificant to highly significant. Mean daily return on January doubles and becomes significantly higher than all other months of the year, and Monday's mean return turns significantly positive and higher than other days of the week. The recently documented Halloween effect turns significant only after controlling for outliers as June, August, and September turn out to be months with remarkably low rates of returns. Being random, outliers cannot serve as instrumental variables for designing trading rules, yet, their impact on options pricing through the increase in volatility, may be applied for profitable options strategies.     

Refining the bootstrap method of stochastic dominance analysis: The case of the January effect

This study investigates the effect of sample size and population distribution on the bootstrap estimated sampling distributions for stochastic dominance (SD) test statistics. Bootstrap critical values for Whitmore's (1978) second- and third-degree stochastic dominance test statistics are found to vary with both data sample size and variance of the population distribution. The results indicate the parametric nature of the statistics and suggest that the bootstrap method should be used to estimate a sampling distribution each time a new data sample is drawn. As an application of the bootstrap method, the January small firm effect is examined. The results conflict with the SD results of others, and indicate that not all investors would prefer to hold just a portfolio of small capitalization firms in January.     

Is the January effect still alive in the futures markets?

The January effect concerns the fact that small capitalization stocks have historically outperformed large capitalized stocks in January. We analyze evidence as to whether this anomaly can be exploited in the futures markets as a speculative investment or to add risk-adjusted value to portfolio performance. We find that the January effect is still alive in the futures markets on the Value Line minus S&P 500 spread trade, but that the marginal liquidity of the Value Line stock index futures contract has made it very risky to exploit the effect. Historically from 1982/3 to 2004/5, the trade has been profitable. This anomaly was also exploitable through a Russell 2000 minus S&P 500 spread trade from 1993/4 to 2004/5.

The other January effect: International, style, and subperiod evidence

We report international, style, and subperiod evidence for the other January effect (OJE) documented in Cooper et al. [2006. The other January effect. Journal of Financial Economics 82, 315–341]. When examining the OJE in 22 countries starting as early as 1801, we find that the spread between 11-month returns following positive and negative Januarys does tend to be positive. However, the spreads are rarely statistically significant and the returns of other calendar months exhibit similar subsequent 11-month return spreads. Further, the international OJE spreads and the OJE spreads in disaggregate U.S.-style portfolios are more related to the U.S. market-level January return, rather than the respective country-specific or portfolio-specific January return. Finally, the OJE is weaker over the 1975–2006 post-discovery period than over the 1940–1974 pre-discovery period. Our evidence indicates that the OJE is primarily a U.S. market-level-based phenomenon that has diminished over time, which suggests a ‘temporary anomaly’ interpretation.     

Institutional Investors, Analyst Following, and the January Anomaly

Average stock returns for small, low stock price firms are higher in January than for the rest of the year. Two explanations have received a great deal of attention: tax-loss selling and gamesmanship. This paper documents that seasonality in returns is not a phenomenon observed only for small firms' stock or those with low prices. Strong seasonality in excess returns is reported for a sample of widely followed firms. Sample firms have unusually low excess returns in January and returns adjust upward over the year. These results are consistent with the gamesmanship hypothesis, but not the tax-loss-selling hypothesis.     

Institutional Investors, Analyst Following, and the January Anomaly

Average stock returns for small, low stock price firms are higher in January than for the rest of the year. Two explanations have received a great deal of attention: tax-loss selling and gamesmanship. This paper documents that seasonality in returns is not a phenomenon observed only for small firms' stock or those with low prices. Strong seasonality in excess returns is reported for a sample of widely followed firms. Sample firms have unusually low excess returns in January and returns adjust upward over the year. These results are consistent with the gamesmanship hypothesis, but not the tax-loss-selling hypothesis.     

Fiscal year-end choice: determinants and dynamics

The international diversity of firms' fiscal year-end is relatively unknown. However, this diversity has practical implications for both accounting research and business comparability. In this study, we examine the backgrounds of the diversity. We found that differences in tiny, supposedly unimportant details in national legislation on fiscal year-end have a much stronger impact on fiscal year-end choice than the generally assumed cause of seasonality. In the last decade of international harmonization, we found only a few instances of fiscal year-end changes motivated by enhancing comparability. Worldwide, a weak drift towards December was found.     

Seasonality and size effects: The case of real-estate-related investment

This article documents that the well-known size-related seasonality effects exist in real-estate-related investments. The average return on REITs in January is higher than that in any other month during the year, and the abnormally high return in January tends to disappear for large REITs, both equity and mortgage REITs. The January effect for mortgage REITs appears to be larger than that for equity REITs. Some more puzzles emerge in this article concerning seasonality, including a reverse small firm effect in certain other months.     

Retail investors exonerated: the case of the January effect

We dispel the belief that the January effect is due to retail investor trading. Previous studies suggest that retail investors, affected by behavioural biases and disproportionally invested in small capitalization stocks, are the source of the January effect. Furthermore, the literature regards retail investor trading and the tax‐loss selling hypothesis as essentially the same explanation. We separate tax implications and market capitalization to show that retail traders are not the cause of the January effect. Our study is an important direct test of whether retail trading causes market anomalies.     

From T-Bills to Stocks: Seasonal Anomalies Revisited

This paper employed eleven data series which consist of stocks, bonds, bills, equity premiums, term premiums, and various default premiums to investigate whether January seasonality reported in existing literature is robust across different states of the economy as this has important trading implications. For the periods 1926–1990, small stocks, small stock premiums, low grade bonds, and default premiums (spread between high grade, low grade and government bonds) reveal January seasonality and that the seasonality is robust across different states of the economy except for low grade bond returns and default premiums. January seasonality for low grade bond returns and low grade bond default premiums are primarily driven by results found during periods of economic expansion. Overall, January seasonality is more evident during the economic expansion periods although the magnitude of default premiums is larger during periods of economic contraction. Furthermore, prior findings of strong summer equity returns are primarily driven by the results found during the periods of economic contraction. It is also found that equity returns are generally higher during periods of economic expansion.     

Carry-overs or leftovers? Tackling year-end spend-downs at the central government level

ABSTRACT

Year-end spend-downs have received a lot of attention in public policy and public administration, and a number of budgeting and accounting reforms have been made to tackle this issue. While carry-overs have been thought to be a remedy, their effect remains empirically under-investigated. This paper applies a mixed-method approach to provide empirical evidence for year-end spending surges, and to analyse the effect of changing carry-over rules in Austria. The authors uncover the reasons behind spend-downs: uncertainty about carry-overs and their use, and the risk of losing unspent appropriations and efficiency savings seem to explain year-end spend-downs. The findings offer support for prior calls in the academic literature to take time and volume limitations into account when designing and implementing carry-over rules. The evidence presented here has important implications for policy-makers and managers.     

农户参与医疗保险行为决策影响因素分析

本文基于中国健康营养调查(CHNS)数据,运用离散选择模型,对农户参与农村医疗保险的影响因素进行实证分析,试图从微观视角剖析影响我国农村医疗保险发展进程的原因。研究表明:年龄、婚姻、工作对农户参与农村医疗保险有正效用,但并不显著;从事家庭手工业和小型商业对农户参与医疗保险有显著的抑制作用;农户的健康自评状况对其参加医疗保险决策的影响不显著。     

The Determinants of Debt Maturity: The Case of Bank Financing in Singapore

This study presents important international evidence by examining the determinants of debt maturity of listed firms in Singapore, a major financial center in Asia. We focus on bank debt because it is the principal source of financing for most Singapore firms. We find that consistent with the contracting-cost hypothesis, firms with greater growth opportunities rely more heavily on short-term bank debt whereas larger firms are more likely to use long-term bank debt. In contrast, we find no strong support for either the tax or signaling hypotheses.