A Refutation of the Existence of the Other January Effect*

Abstract

ABSTRACTCooper et al. report US evidence of the ‘other January effect,’ where returns in January are shown to have predictive power for returns over the subsequent 11 months. We re‐examine the latest sub‐period that they examine and find that the results using excess returns are not unique to January and that the effect for January is not apparent for raw returns. Further, using excess (raw) return data for 38 (44) other countries, limited support is found for the other January effect, with eight (five) of the remaining 11 months demonstrating a statistically significant effect in at least as many countries as exhibited the ‘other January effect.’ Further, there is no evidence to suggest tha..