The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Portfolio Rebalancing and the Turn‐of‐the‐Year Effect
Published: 03/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02409.x
JAY R. RITTER, NAVIN CHOPRA
This paper finds that, for the 1935–1986 period, the market's risk‐return relation does not have a January seasonal. The findings differ from those of other studies due to the use of value‐weighted, rather than equally weighted, portfolios. Inferences are sensitive to the weighting procedure because of the small‐firm return patterns in January. In particular, even in those Januaries for which the market return is negative, small‐firm returns are positive, and they are more positive the higher is beta. This is consistent with the portfolio rebalancing explanation of the turn‐of‐the‐year effect.
Summing Up
Published: 06/01/1993 | DOI: 10.1111/j.1540-6261.1993.tb04744.x
Navin Chopra, Charles M. C. Lee, Andrei Shleifer, Richard H. Thaler