Some empirical tests for the January Effect

This study tests for the existence of the January effect in dividend yield, size and book-to-market ratio sorted portfolios. The paper employs dummy variable regressions to test for the effect in value-weighted and equal-weighted portfolios in 1931-2005, 1931-1978 and 1979-2005 time periods. The results show that the January effect exists in value-weighted and equal-weighted portfolios in all three time periods. The January effect is increasing in dividend yield and book-to-market ratio, and is decreasing in portfolio size. The January effect is more significant for equal-weighted portfolios and 1932-1978 time period.