THE JANUARY EFFECT ON THE MOVE: EVIDENCE FROM INTERNATIONAL STOCK MARKETS

This study examines seasonality in value vs. growth portfolio returns for 15 stock markets. This study finds that seasonal effects tend to be decreasing over time and that seasonality in high book-to-market portfolios tends to correspond with seasonality in overall market returns. A turn-of-the-year effect is also documented in that the first and/or last month o f the year plays a significant role in seasonality, and that the mean returns for those months are always positive. These results suggest that rallies surrounding the turn of the year are nearly ubiquitous in the presence ofseasonal returns.