Bibliography of Articles on Seasonality and the January Effect
Ball, R., S.P. Kothari, and J. Shanken, "Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies," Journal of Financial Economics (May 1995), 79-107.
Barnhart, Bill. Small Caps Get a Jump on January Effect," Chicago Tribune. (Dec 5, 2004).
Bhabra, Harjeet S. et al.; "A November Effect? Revisiting the Tax-loss-selling Hypothesis." Financial Management (Winter 1999)
Chen, Honghui, and Singal, Vijay. "A December Effect with Tax-gain Selling?" Financial Analysts Journal. (Jul/Aug 2003), pg. 78.
Chopra, N., J. Lakonishok, and J.R. Ritter, "Measuring Abnormal Performance: Do Stocks Overreact?" Journal of Financial Economics (April 1992), 235-268.
Haugen, R.A. and J. Lakonishok, The Incredible January Effect: The Stock Market's Unsolved Mystery, Homewood, IL, Dow-Jones, Irwin (1998).
Hulbert, Mark. "Why Small-Cap Stocks Are So Hot in Cold Weather." New York Times. (Nov 18, 2001).
Jones, S.L., W. Lee, and R. Apenbrink, "New Evidence on the January Effect Before Personal Income Taxes," Journal of Finance (December 1991).
Keim, D.B., "Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence," Journal of Financial Economics (June 1983), 12-32.
Lakonishok, J. and S. Smidt, "Volume for Winners and Losers: Taxation and Other Motives for Stock Trading," Journal of Finance (September 1986), 951-974.
Maxwell, W., "The January Effect in the Corporate Bond Market: A Systematic Examination," Financial Management (Summer 1998), 18-30.
Opdyke, Jeff. "Only Three Weeks Left To Fix Your Portfolio --- Stock Losses Hit a Record This Year, but December May Be the Time to Buy; the Real 'January Effect.'" Wall Street Journal. (Dec 11, 2002). pg. D.1
Pietranico, Paul-Charles and Mark W Riepe. "The January Effect Revisited." Journal of Financial Planning. (Apr 2004) pg. 26.
Pradhuman, Satya Dev. Small-Cap Dynamics: Insights, Analysis, and Models. 2000.
Riepe, Mark W. "The January Effect: Not Dead Yet, but Not at all Well." Journal of Financial Planning. v. 14 no1 (Jan. 2001).
Roll, R., "Vas Ist Das? The Turn of the Year Effect and the Return Premia of Small Firms," Journal of Portfolio Management (Winter 1983), 18-28.
Shell, Adam. "Are Too Many Investors Discovering January Effect?". USA Today. Nov 30, 2004. pg. B.1.
Stires, David. "Cashing in on the January Effect." Fortune (Nov. 27 2000).
Wachtel, S., "Certain Observations on Seasonal Movement in Stock Prices," Journal of Business (April 1942).
Yanxiang Gu, Anthony. "The Declining January Effect: Evidences from the U.S. Equity Markets." Quarterly Review of Economics and Finance. (Summer 2003) pg. 395.
Zweig, Jason. "New Year's Play". Money (Dec. 2000)