Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return anomalies. We find that short-term reversals strengthen while momentum changes sign at the turn of the year, and such patterns are more pronounced following years of recession and poor market performance, consistent with tax-loss selling playing a key role. Although additional factors are likely to contribute to the overall effect, no significant change in anomaly performance occurs midyear, casting doubt on window-dressing as a primary driving force.


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Author Biography

Steven Kozlowski, Fairfield University
Dr. Steven Kozlowski is an Assistant Professor of Finance in the Dolan School of Business at Fairfield University. He teaches Introduction to Finance and Principles of Investment at the undergraduate level as well as Research Methods in Finance at the graduate level. His work has been published in journals such as the Journal of Banking & Finance, Financial Review, Journal of Financial Stability, Accounting and Finance, and Managerial Finance, among others. Steven received his B.S. in Business Administration from Le Moyne College with majors in Finance, Management Information Systems, and Applied Management Analysis, and he received his Ph.D. in Finance from the University of Connecticut. Prior to pursuing his Ph.D., he worked as a District Examiner for the National Credit Union Administration.
How to Cite
Kozlowski, S., & Lytle, A. (2023). THE JANUARY ANOMALY AND ANOMALIES IN JANUARY. Applied Finance Letters, 12(1), 2 - 10. Retrieved from
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