Abstract
We investigate the seasonality in the probability of information-based trading (PIN)-return relationship, the ‘January-PIN effect’. We find that on average stock returns decrease with PIN in January, in contrast to other calendar months. This pattern is more apparent for small stocks. We argue that this seasonality is related to the January effect. According to the analysis, the December selling pressure due to the January effect decreases in PIN, especially for small stocks. This suggests that when the price bounces back in January, low-PIN stocks will exhibit a larger return within a small stock group, leading to the negative PIN-return pattern. Furthermore, this seasonality is different from other January anomalies reported in the literature.
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