Princeton University Library Catalog

The January Effect in the U.S. Equity Market: Prevalence within Market Capitalization and Sector

Toth, Alexandra [Browse]
Senior thesis
Fan, Jianqing [Browse]
Princeton University. Department of Operations Research and Financial Engineering [Browse]
Princeton University. Program in Finance [Browse]
Class year:
Summary note:
The U.S. Equity Market as well as other Developed Markets around the world experience higher returns in January than the rest of the months in the year. This phenomenon is known as the January Effect. Sixteen years of data are used in this thesis for analysis. The years are from 2000 to 2015. There has been scholarly conversations about the continued existence of the January Effect and what causes such an anomaly. This thesis hopes to find which sectors have the most prominent January effect, whether these belong to high or low capitalization stocks, and if there has been a change in the severity of the January Effect for the time period before and after the global financial crisis of 2008. Furthermore, this thesis shows which sectors still have a prominent January effect after the financial crisis.