Abstract
This study examines, month-by-month, the empirical relation between abnormal returns and market value of NYSE and AMEX common stocks. Evidence is provided that daily abnormal return distributions in January have large means relative to the remaining eleven months, and that the relation between abnormal returns and size is always negative and more pronounced in January than in any other month - even in years when, on average, large firms earn larger risk-adjusted returns than small firms. In particular. nearly fifty percent of the average magnitude of the ‘size effect’ over the period 1963-1979 is due to January abnormal returns. Further, more than lifty percent of the January premium is attributable to large abnormal returns during the first week of trading in the year, particularly on the first trading day.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
