The January Anomaly and Size Effect: Developed an Emerging Markets

This paper examines the January effect and its relation to size on international stocks, more specifically on developed and emerging markets. The main findings indicate the effect to be non-existent for the aggregate market proxy in both developed and emerging markets. After allocating the stocks to equally weighted decile portfolios, however, the effect becomes apparent for developed markets in the smallest decile. The effect remains non-existent, on the other hand, for emerging markets even after incorporating size.