(1) Department of Finance, University of Central Florida, 32816 Orlando, Florida;(2) J. D. Properties, Inc., 37801 Maryville, Tennessee;(3) Finance Department, The University of Tennessee, SMC-424, 37996-0540 Knoxville, Tennessee
Abstract:
This study documents a previously unobserved January effect in the market for riskless debt. Long-term government bonds have significantly lower returns in January than in the rest of the year. This January effect is opposite in sign to the January effects that have been previously documented in the markets for equity and the markets for risky debt. Tax-loss selling in the equity markets in conjunction with parking the proceeds may provide a possible explanation for the negative January effect in the market for government bonds.