The cross-section of January effect

Cheema, Arbab, Ding, Wenjie ORCID: https://orcid.org/0000-0003-2774-5777 and Wang, Qingwei ORCID: https://orcid.org/0000-0002-3695-7846 2023. The cross-section of January effect. Journal of Asset Management 24 , pp. 513-530. 10.1057/s41260-023-00324-1 Item availability restricted.

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Abstract

We examine the cross-sectional January effect among portfolios that long sentiment-prone and difficult-to-arbitrage stocks and short sentiment-insensitive and easy-to-arbitrage stocks. These long-short portfolios on average earn over 20 times higher returns in January than in a non-January month. 85% of the cross-sectional January effect comes from its long legs, consistent with a sentiment-driven mispricing explanation. The cross-sectional January effect persists over time and remains significant after accounting for common risk factors and time-varying factor loadings.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Palgrave Macmillan
ISSN:	1470-8272
Date of First Compliant Deposit:	20 July 2023
Date of Acceptance:	14 July 2023
Last Modified:	21 Feb 2024 16:32
URI:	https://orca.cardiff.ac.uk/id/eprint/161140

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