RT Journal Article
SR Electronic
T1 The January Effect and the Global Value-Growth Premium
JF The Journal of Investing
FD Institutional Investor Journals
SP 15
OP 26
DO 10.3905/joi.2002.319520
VO 11
IS 4
A1 Bala G Arshanapalli
A1 T. Daniel Coggin
A1 William B Nelson
YR 2002
UL https://pm-research.com/content/11/4/15.abstract
AB 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.