Testing for "January effect" in Canada finance industry

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dc.contributor.advisor Dodds, J. C. (James Colin)
dc.coverage.spatial Canada
dc.creator Li, Jing
dc.date.accessioned 2013-10-03T15:18:13Z
dc.date.available 2013-10-03T15:18:13Z
dc.date.issued 2013
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/25260
dc.description 1 online resource (v, 110 p.)
dc.description Includes abstract and appendices.
dc.description Includes bibliographical references (p. 37-54).
dc.description.abstract This paper examines existence of January effect in the financial services industry in Canada. A regression model with dummy variables has been used to detect the January effect from 2003 to 2012. The January effect is a trend for stocks, particularly for small-cap firms. There are at least five reasons to explain why this market seasonality might occur, for instance, tax loss selling, the intergenerational transfer hypothesis, CAPM misspecification, seasonal information flows and window dressing. This paper found a weak January effect in small-cap firms before 2009, and this effect has declined in recent years with a more efficient capital market. While the January effect does not hold for each individual firm, this result cannot confirm the previous studies about the existence of January effect in Canada. Therefore, there are no abnormal returns for investors to take advantage of this January anomaly. en_CA
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dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title Testing for "January effect" in Canada finance industry en_CA
dc.title.alternative Testing for "January effect" in Canada's financial services
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)
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