The January Effect and the Global Value-Growth Premium

Abstract

Here are important findings on abnormal returns for value stocks and the January effect, two challenges to the efficient market model. There is a January effect on the value-growth spread in the U.S. for both large- and small-capitalization stocks for the period 1975–2001. Use of four different benchmark indexes adds robustness to this result. Examination of five major non-U.S. markets—EuroPacific, France, Germany, Japan, and the U.K.—reveals a January effect in the large-cap value-growth spread for three markets (France, Germany, and U.K.) and in the small-cap value-growth spread for all five markets.