{"title":"套利者是否利用了“一月效应”","authors":"Dennis J. Lasser, Xue Wang","doi":"10.3868/S070-004-015-0019-1","DOIUrl":null,"url":null,"abstract":"The January effect has been well documented since the 1970s. This study examines whether the January effect still exists and if it does, whether arbitrageurs exploit it. We find that the January effect is still persistently significant. Furthermore, we find that arbitrageurs appear to exploit the January effect, especially in good market years when the number of losing firms is limited and are therefore more easily identifiable. We also find that the January effect tends to be higher for losing stocks with high arbitrage costs relative to those with low arbitrage costs.","PeriodicalId":54175,"journal":{"name":"Frontiers of Business Research in China","volume":"9 1","pages":"481-515"},"PeriodicalIF":1.3000,"publicationDate":"2016-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Do Arbitragers Exploit the January Effect\",\"authors\":\"Dennis J. Lasser, Xue Wang\",\"doi\":\"10.3868/S070-004-015-0019-1\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The January effect has been well documented since the 1970s. This study examines whether the January effect still exists and if it does, whether arbitrageurs exploit it. We find that the January effect is still persistently significant. Furthermore, we find that arbitrageurs appear to exploit the January effect, especially in good market years when the number of losing firms is limited and are therefore more easily identifiable. We also find that the January effect tends to be higher for losing stocks with high arbitrage costs relative to those with low arbitrage costs.\",\"PeriodicalId\":54175,\"journal\":{\"name\":\"Frontiers of Business Research in China\",\"volume\":\"9 1\",\"pages\":\"481-515\"},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2016-01-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Frontiers of Business Research in China\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.3868/S070-004-015-0019-1\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Frontiers of Business Research in China","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3868/S070-004-015-0019-1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS","Score":null,"Total":0}
The January effect has been well documented since the 1970s. This study examines whether the January effect still exists and if it does, whether arbitrageurs exploit it. We find that the January effect is still persistently significant. Furthermore, we find that arbitrageurs appear to exploit the January effect, especially in good market years when the number of losing firms is limited and are therefore more easily identifiable. We also find that the January effect tends to be higher for losing stocks with high arbitrage costs relative to those with low arbitrage costs.
期刊介绍：
Frontiers of Business Research in China (FBR) is a double-blind refereed quarterly journal in business research. FBR offers a multidisciplinary forum for academics, practitioners, and policy makers that focuses on business administration, and encourages interdisciplinary studies and interactions between Chinese and international researchers. FBR publishes original academic and practical research articles that extend, test, or build management theories, as well as contributions to business administration practice, either in the Greater China region or beyond. The Journal also publishes related commentaries and case studies. FBR invites submissions of high-quality manuscripts in all areas of business administration, without limitations on research methods. Major areas of interest include, but are not limited to: Accounting, Finance, Human resources, International business, Marketing, Management information systems, Operations management, Organizational behavior, and Strategic management.
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