Portfolio Rebalancing and the Turn‐of‐the‐Year Effect

JAY R. RITTER*, Navin Chopra

*Corresponding author for this work

Research output: Contribution to journalArticle

108 Scopus citations

Abstract

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. 1989 The American Finance Association

Original languageEnglish (US)
Pages (from-to)149-166
Number of pages18
JournalThe Journal of Finance
Volume44
Issue number1
DOIs
StatePublished - Jan 1 1989

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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