The January sentiment effect in the U.S. stock market
January sentiment, Stock return anomalies
International Review of Financial Analysis
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 of Finance
Original Publication Date
DOI of published version
UNI ScholarWorks, Rod Library, University of Northern Iowa
Chen, Zhongdong and Daves, Phillip R., "The January sentiment effect in the U.S. stock market" (2018). Faculty Publications. 665.