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The 52-Week High And The January Effect
Kasarinlan: Philippine Journal of Third World Studies
View Archive Info| Field | Value | |
| Title |
The 52-Week High And The January Effect
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| Creator |
Park, Seung-Chan
Moskalev, Sviatoslav A. |
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| Description |
The predictive power of past returns for January reversal is compared with that of the nearness of current prices to the 52-week high. When compared jointly, past returns lose their forecasting power for January returns and the nearness of current prices to the 52-week high assumes the dominant role in explaining the January reversal. This suggests that tax-loss selling is not the primary factor explaining the January effect. A behavioral explanation consistent with the window-dressing argument is proposed in that the 52-week high acts as an “anchor,” a highly visible reference price to fund holders, increasing fund managers’ incentives to window-dress by temporarily adding (removing) stocks that are perceived by fund holders as good (bad) investments, based on the nearness of these stocks’ current prices to the 52-week high.
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| Publisher |
The Clute Institute
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| Date |
2010-12-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://clutejournals.com/index.php/JBER/article/view/688
10.19030/jber.v8i3.688 |
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| Source |
Journal of Business & Economics Research (JBER); Vol 8 No 3 (2010)
2157-8893 1542-4448 10.19030/jber.v8i3 |
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| Language |
eng
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| Relation |
http://clutejournals.com/index.php/JBER/article/view/688/674
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