TY - JOUR
T1 - Retail investors exonerated
T2 - The case of the January effect
AU - Henker, Julia
AU - Paul, Debapriya Jojo
PY - 2012/12
Y1 - 2012/12
N2 - We dispel the belief that the January effect is due to retail investor trading. Previous studies suggest that retail investors, affected by behavioural biases and disproportionally invested in small capitalization stocks, are the source of the January effect. Furthermore, the literature regards retail investor trading and the tax-loss selling hypothesis as essentially the same explanation. We separate tax implications and market capitalization to show that retail traders are not the cause of the January effect. Our study is an important direct test of whether retail trading causes market anomalies.
AB - We dispel the belief that the January effect is due to retail investor trading. Previous studies suggest that retail investors, affected by behavioural biases and disproportionally invested in small capitalization stocks, are the source of the January effect. Furthermore, the literature regards retail investor trading and the tax-loss selling hypothesis as essentially the same explanation. We separate tax implications and market capitalization to show that retail traders are not the cause of the January effect. Our study is an important direct test of whether retail trading causes market anomalies.
UR - http://www.scopus.com/inward/record.url?scp=84871248903&partnerID=8YFLogxK
U2 - 10.1111/j.1467-629X.2011.00449.x
DO - 10.1111/j.1467-629X.2011.00449.x
M3 - Article
AN - SCOPUS:84871248903
SN - 0810-5391
VL - 52
SP - 1083
EP - 1099
JO - Accounting and Finance
JF - Accounting and Finance
IS - 4
ER -