@article{Kozlowski_Lytle_2023, title={THE JANUARY ANOMALY AND ANOMALIES IN JANUARY}, volume={12}, url={https://ojs.aut.ac.nz/applied-finance-letters/article/view/615}, abstractNote={<p style="font-weight: 400;">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.</p&gt;}, number={1}, journal={Applied Finance Letters}, author={Kozlowski, Steven and Lytle, Alex}, year={2023}, month={Mar.}, pages={2 - 10} }