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Stats › Seasonality and calendar › January effect

The January effect faded in the broad market and lives on only in small caps

1891 to 1915 t = 2.88: 1.59+1.591891 to 1915t = 2.881916 to 1940 t = 3.21: 1.70+1.701916 to 1940t = 3.211941 to 1965 t = 2.19: 1.81+1.811941 to 1965t = 2.191966 to 1990 t = 1.95: 1.71+1.711966 to 1990t = 1.951991 to 2015 t = 0.81: 1.03+1.031991 to 2015t = 0.81

Mean January return in percent per month for the US market, by 25 year sub-period. The two highlighted periods fail the paper's t-test, its ANOVA and its Mann-Whitney test. The four sub-periods before 1891 are omitted here because three of the four have a negative January mean, which is a different story from decay.

January's mean return in the broad US market fell from 1.81% over 1941 to 1965 to 1.03% over 1991 to 2015, no longer significant on any of three tests. The small minus big January premium halved too, from 2.1% a month to 1.0%, but it is still there.

1.81%Mean January return, 1941 to 1965, t = 2.19
1.03%The same for 1991 to 2015, t = 0.81
2.1%Small minus big January premium per month, 1926 to 2017, t = 6.25
1.0%The same over 1976 to 2017, t = 2.39

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