Abstract
The Other January Effect (OJE), which suggests positive (negative) equity market returns in January predict positive (negative) returns in the following 11 months of the year, underperforms a simple buy-and-hold strategy before and after risk-adjustment. Even the best modified OJE strategy, which benefits from several ex-post adjustments, does not generate statistically or economically significant excess returns. When the OJE is tested with a method that is consistent with investor experience it is clear the OJE is no more profitable than an 11-month strategy that uses November or December as the conditioning month.
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