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- W2058974345 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." @default.
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- W2058974345 date "2010-10-01" @default.
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- W2058974345 title "The Other January Effect: Evidence against market efficiency?" @default.
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- W2058974345 doi "https://doi.org/10.1016/j.jbankfin.2010.03.019" @default.
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