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
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Official URL: https://doi.org/10.1057/s41260-023-00324-1
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: | 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: | 08 Nov 2024 16:45 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/161140 |
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