關(guān)于January effect（一月效應(yīng)）的判斷問題

1、Which of the following is not one of the reasons of January effect?

A. Tax loss

B. Window dressing

C. New information

Solution: C

January effect Calendar anomaly that stock market returns in January are significantly higher compared to the rest of the months of the year, with most of the abnormal returns reported during the first five trading days in January. Also called turn-of-the-year effect.The January effect contradicts the efficient market hypothesis because excess returns in January are not attributed to any new and relevant information or news. A number of reasons have been suggested for this anomaly, including tax-loss selling. Researchers have speculated that, in order to reduce their tax liabilities, investors sell their "loser" securities in December for the purpose of creating capital losses, which can then be used to offset any capital gains. A related explanation is that these losers tend to be small-cap stocks with high volatility.

Another possible explanation for the anomaly is so-called "window dressing", a practice in which portfolio managers sell their riskier securities prior to 31 December. The explanation is as follows: many portfolio managers prepare the annual reports of their portfolio holdings as of 31 December. Selling riskier securities is an attempt to make their portfolios appear less risky. After 31 December, a portfolio manager would then simply purchase riskier securities in an attempt to earn higher returns. However, similar to the tax-loss selling hypothesis, the research evidence in support of the window dressing hypothesis explains some, but not all, of the anomaly.

（一月效應(yīng)日歷異常的股市回報率在一月份的高顯著相比，今年的月休息，大部分在一月份的第一個五個交易日報異?；貓蟆Ｒ脖环Q為開啟-的年生效。一月效應(yīng)相矛盾的有效市場假說，因?yàn)樵谝辉路莸某~收益并不屬于任何新的和相關(guān)的信息或新聞。有很多原因已經(jīng)提出了這種異常，包括稅損賣盤。研究人員推測，為了減輕他們的稅務(wù)責(zé)任，為投資者創(chuàng)造的資本損失，則可以用來抵消任何資本收益的目的，在十二月出售他們的“失敗者”的證券。一個相關(guān)的解釋是，這些失敗者往往是小盤股具有較高的波動性。另一種可能的解釋為異常是所謂的“門面”，這種做法在投資組合經(jīng)理賣出風(fēng)險較高的證券之前，12月31日。的解釋如下：許多投資組合經(jīng)理準(zhǔn)備自己的投資組合持有的31十二月年度報告。銷售風(fēng)險較高的證券是企圖使自己的投資組合出現(xiàn)風(fēng)險較小。 12月31日之后，投資組合經(jīng)理會那么只需購買風(fēng)險較高的證券，試圖以賺取更高的回報。但是，類似稅務(wù)損賣盤假說，研究證據(jù)支持的門面假說解釋了一些，但不是所有的異常。）

金程cfa延伸講解:股市中有“月度效應(yīng)”一說，根據(jù)有效市場假說，在有效市場中不存在非正常收益，但 “月度效應(yīng)”明顯存在非正常收益，是違反市場有效性的異常現(xiàn)象之一，“January Effect（一月效應(yīng)）”為其中論斷。一月效應(yīng)有兩層含義，其一：一月的日均收益率高于其它月份；其二：一月陰陽與一年陰陽成正相關(guān)關(guān)系。

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