The January Sentiment Effect In The U.S. Stock Market

Authors

Zhongdong Chen, University of Northern IowaFollow
Phillip R. Daves, Haslam College of Business

Document Type

Article

Keywords

January sentiment, Stock return anomalies

Journal/Book/Conference Title

International Review of Financial Analysis

Volume

59

First Page

94

Last Page

104

Abstract

We document the January sentiment effect in the U.S. stock market over the 1978–2017 period where January sentiment of individual investors has a significant impact on their asset allocation decisions and therefore, stock market returns from February to December. This effect is not likely driven by the other January effect and it appears to concentrate on riskier stocks including smaller stocks, higher market-to-book ratio stocks, and stocks with worse firm performance.

Department

Department of Finance

Original Publication Date

10-1-2018

DOI of published version

10.1016/j.irfa.2018.07.008

Repository

UNI ScholarWorks, Rod Library, University of Northern Iowa

Language

en

Recommended Citation

Chen, Zhongdong and Daves, Phillip R., "The January Sentiment Effect In The U.S. Stock Market" (2018). Faculty Publications. 665.
https://scholarworks.uni.edu/facpub/665