Systematic variations in January

Eric Bentzen, Björn Hansson

Research output: Contribution to conferencePaperResearch

Abstract

In this paper we investigate the January effect on New York Stock Exchange. Unlike other empirical works we suggest expanding the model to more main effects. By doing so we find that the January effect is not the only effect, and it cannot be rejected that the effect from selected years are so powerful that it can effect the empirical finance.
Original languageEnglish
Publication date23 Nov 2004
Number of pages22
Publication statusPublished - 23 Nov 2004
EventThe Arne Ryde Conference in Finance, Lund, November 2004 -
Duration: 30 Jun 2010 → …

Conference

ConferenceThe Arne Ryde Conference in Finance, Lund, November 2004
Period30/06/2010 → …

Cite this

Bentzen, E., & Hansson, B. (2004). Systematic variations in January. Paper presented at The Arne Ryde Conference in Finance, Lund, November 2004, .
Bentzen, Eric ; Hansson, Björn. / Systematic variations in January. Paper presented at The Arne Ryde Conference in Finance, Lund, November 2004, .22 p.
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Bentzen, E & Hansson, B 2004, 'Systematic variations in January' Paper presented at, 30/06/2010, .

Systematic variations in January. / Bentzen, Eric; Hansson, Björn.

2004. Paper presented at The Arne Ryde Conference in Finance, Lund, November 2004, .

Research output: Contribution to conferencePaperResearch

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AU - Bentzen, Eric

AU - Hansson, Björn

PY - 2004/11/23

Y1 - 2004/11/23

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AB - In this paper we investigate the January effect on New York Stock Exchange. Unlike other empirical works we suggest expanding the model to more main effects. By doing so we find that the January effect is not the only effect, and it cannot be rejected that the effect from selected years are so powerful that it can effect the empirical finance.

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KW - Aktiekurser

KW - Sæsonsvingninger

KW - Sæson

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M3 - Paper

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Bentzen E, Hansson B. Systematic variations in January. 2004. Paper presented at The Arne Ryde Conference in Finance, Lund, November 2004, .