1、Which of the following is not one of the reasons of January effect?
A. Tax loss
B. Window dressing
C. New information
Solution: C
January effect Calendar anomaly that stock market returns in January are significantly higher compared to the rest of the months of the year, with most of the abnormal returns reported during the first five trading days in January. Also called turn-of-the-year effect.The January effect contradicts the efficient market hypothesis because excess returns in January are not attributed to any new and relevant information or news. A number of reasons have been suggested for this anomaly, including tax-loss selling.
Researchers have speculated that, in order to reduce their tax liabilities, investors sell their "loser" securities in December for the purpose of creating capital losses, which can then be used to offset any capital gains. A related explanation is that these losers tend to be small-cap stocks with high volatility.Another possible explanation for the anomaly is so-called "window dressing", a practice in which portfolio managers sell their riskier securities prior to 31 December. The explanation is as follows: many portfolio managers prepare the annual reports of their portfolio holdings as of 31 December.
Selling riskier securities is an attempt to make their portfolios appear less risky. After 31 December, a portfolio manager would then simply purchase riskier securities in an attempt to earn higher returns. However, similar to the tax-loss selling hypothesis, the research evidence in support of the window dressing hypothesis explains some, but not all, of the anomaly.
【专家结合实际剖析】股市中有“月度效应”一说，根据有效市场假说，在有效市场中不存在非正常收益，但 “月度效应”明显存在非正常收益，是违反市场有效性的异常现象之一，“January Effect（一月效应）”为其中最著名论断。一月效应有两层含义，其一：一月的日均收益率高于其它月份；其二：一月阴阳与一年阴阳成正相关关系。
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