The goal of this study is to search for the January anomaly based on some economic theories and determining factors. By anomaly, we refer to any strange, unusual, or unique occurrence which deviates from established trends or economic principles. These economic theories attempt to explain the equilibrium and disequilibrium in the foreign exchange market. We aim at gauging when the SEK is likely to be misaligned and if an identified anomaly is evidence of a stable and long running phenomenon which an investment strategy could be based on, or whether it is just a short-term unique mispricing which will disappear in the long term. The research questions for this paper include:          What factors account for fluctuations in the Swedish Krona?          Is there evidence of a January effect in the Swedish Krona?   These questions will be evaluated based on the results of our computations on MS excel. Multiple regression analysis will be used to determine the level of significance for the monthly dummy variables. The exchange rates used in this paper include the SEK/€ and the SEK/$.

It is a well-known fact that stocks in many countries exhibit abnormal large returns in January. This so-called ¡¦January effect¡¦ has been documented in a considerable number of papers for different stock markets. A lot of researchers have showed great interests in investigating monthly patterns in stock returns, and the underlying force for generating such phenomenon. Generally, there are two benchmarks to judge whether January effect exist or not. The first distinct feature of the January effect from the financial perspective is its occurrence of time ¡V in January ¡V a time which symbolizes the ending of the previous year and the beginning of a new year. This month also symbolizes the completion of the previous year¡¦s business goals for all the enterprises, including those listed companies. The second is the negative relationship between firm size and stock price returns, i.e., the larger stock price returns are most frequently pronounced in small size firms in January. The purpose of this paper is to use these two benchmarks as the standards to analyze whether the January Effect phenomenon is reflected in the form of traditional Chinese Lunar New Year Effect in Taiwan Stock market, and what are the reasons behind these phenomenon, and what shall the investors respond to such phenomenon.

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This dissertation used the daily Dow Jones Industrial Average (DJIA) for the 1897 through 1928 period to examine the potential existence of any market reactions, which may have resulted from the imposition and expansion of "withholding at the source" and quarterly and estimated tax payments. Providing for a natural laboratory, this period has previously been used to examine and gain insights into tax-loss selling (TLS) as a possible (partial) explanation for year-end changes in stock prices. Drawing from the methodologies and findings from these studies, this period is examined both (1) in its entirety and (2) as partitioned, using two different operational definitions of the pre-/post-tax period. Additional, contemporary period-based analyses were conducted for the 1918 and 1930 through 1994 periods, using both DJIA and Standard & Poor's (S&P) 500 Composite daily indexes, respectively. The focus was on changes in estimated tax payments dates/event windows to determine the contemporary existence of tax-based liquidity effects. Both historical (1897-1928) and contemporary (1930-1989) period evidence is found in support of the existence of a tax payment-based liquidity effect. Evidence developed over the entire period (1897-1994) suggests that this seasonal continues to exist for the April 15 (combined) tax filing and estimated tax payment date. / Ph. D.

一月效應在近五十年來係屬一有趣之議題，但至今仍無學者能對其形成原因提出一較佳之解釋。正因為一月效應發生之時點是在每年的一月份，且每年一月份是公司正辦理上年度的決算，新的年度也是才開始而已，所以從另一個角度而言，無論從公司的角度或從投資者的角度而言，均是在形成當年度預期且驗收去年度成果的主要時點。據此本論文以為，上市公司的「一月效應」與投資者對去年度獲利成果，以及對本年度經營結果的預期有關。 本研究係針對我國上市公司1994年至1999年一月之資料加以分析，根據事件研究法及敘述性統計分析之結果發現我國股市在該段期間內並無正的一月效應、反倒是有負的一月效應現象。這樣的結果與早期多數學者的實證結果相反，但近期學者對我國股市的研究當中，已有部分學者之實證結果認為我國股市並無正的一月效應存在。 另外，本研究亦針對上市公司一月累積異常報酬與未預期盈餘之關聯性進行探討，結果發現不論是第一季未預期盈餘或去年度未預期盈餘，其與一月累積異常報酬間皆呈負相關，但不顯著。之後，又把研究標的由一般性盈餘抽換為持續性盈餘，發現未預期盈餘與累積異常報酬間負向關係更為明顯。最後，再將公司規模大小列入考量，發現小公司確實有較高的累積異常報酬，此與先前多數學者實證的結果相符。然而，規模本身雖可對一月累積異常報酬提供一較佳之解釋，但將規模加入模式後仍無法明顯提昇未預期盈餘對累積異常報酬之解釋能力。 / Over the past fifty years, January Effect has always been an interest topic. However, no conclusive explanations have ever been offered. January is the time for management of corporations and investors to confirm the performance of last year and to form expectations of the coming year. Therefore, it may be reasonable to hypothesize the January Effect is related to the actual profitability of last year and the expected earnings of current year. This study first examine whether Taiwan’s stock market has January Effect. Monthly returns of the sample companies for the period 1994 to 1999 are tested. The result indicated that there is a negative January Effect, which runs contrary to most of the previous research findings. However, recent studies on Taiwan’s stock market have drown more conclusions refuting the hypothesis that Taiwan’s stock market has positive January Effect. This study further examines the relationship between the January cumulative abcdrmal returns of sample companies and the unexpected earnings of the previous year and the first quarter of the current year. Regression model is employed. The result indicates that there is negative, though not significant, relationship. The earnings are then further partitioned into permanent and transitory. A new regression analysis using the permanent unexpected earnings is performed. The result is the same but more significant. When company size using the market value as a proxy is added to the regression model, it shows that small companies tend to have higher cumulative abcdrmal returns. In summary, this study finds no significant relationship between the stock returns in January and the unexpected earnings of the previous year and/or the first quarter of the current year.

The Value investment and Growth investment are investment strategies of choosing stocks. These two methods are adopted by international financial investment institutions and mutual fund managers. The study is aim to learn when we classify value stock and growth stock by market-to-book ratio and price-earning ratio, if the investment return would be higher than TSEC weighted index. In addition, we seek for a better investment strategy to improve investment performance further. The study also looks into market abnormal effects , such as January effect, size effect¡Ketc, and also discuss about the variables of stocks holding period and debt ratio. The monthly and yearly investment return rates are used to calculate 1, 2, 3, 4, and 5 year accumulated abnormal stock return ratio and evaluate if these variables affect investment performance of value stock and growth stock. The results are as following: 1. When classification of market-to-book ratio are adopted, the investment return of value stock is higher than growth stock. 2. When classification of market-to-book ratio are adopted, the investment return of low debt ratio stock is higher than high debt ratio stock. However, when classification of price-earning ratio are adopted, it is not obvious. 3. When bull market is formed in Taiwan stock market whose index is still low, invest in value stock could get a good long term investment performance. 4. Regarding the evaluation of risk, the vibration of growth stock is more than value stock. The vibration of TSEC weighted index is the least. 5. The January effect exists in Taiwan stock market. However, the size effect is not obvious. 6. TSEC weighted index and the Dow Jones Industrial index affect the investment return of value stock and growth stock; the TSEC weighted index, value stock and growth stock are positively correlated. The Dow Jones Industrial Index, value stock and growth stock are negatively correlated.

An inefficient market refers to the fact that a stock price deviate from the true value. Such an market inefficiency is the “January effect”. The “January effect” is the phenomenon were the stock market performs better in January than in any other month. This is a seasonal anomaly which should not exist according to the market efficient hypothesis. The “January effect” is a phenomenon that today cannot be fully understood. Thus, many studies have been made on the “January effect”. The effect have been studied across the world since the 1970s, and Rozeff & Kinney (1976) where the first to conclude a seasonal anomaly where January was the responsible month for abnormal returns. Further studies, such as the study by Keim (1983), concludes that the “January effect” is largely a small firm phenomenon. There are several indicators that are said to be the reason for the “January effect”, such as the tax-loss selling hypothesis tested by Reinganum (1983), none of the findings have however been fully supported. Claesson (1987) conducted a study of the “January effect” on the Swedish Stock market in 1987. Her findings was in accordance with other findings across the world, thus the “January effect” did exist in Sweden during 1980s. My study focus on the “January effect” in Sweden and whether or not it is a present phenomenon, thus increasing the contemporaneity of the “January effect”. I base my study on Claesson’s, but I also use  various studies that have been made across the world about this seasonal anomaly. The purpose of the study is to increase the Swedish contemporaneity of the “January effect”. I want to increase the knowledge and understanding of this seasonal anomaly in today’s stock market in Sweden. The study will be of use for both professional and unprofessional investors and can be of use in portfolio strategy decision making.´ In order to make conclusions and to make the research profound I have used theories such as “The-small-firm in January effect” and the “Tax-loss selling hypothesis”. Earlier studies by researchers have been used in order to give an understanding and in order to make a reliable study. I have  used a sample between the years 2003-2011 from the NASDAQ OMX Nordic Stock Exchange. The Sample focus on the Stockholm Stock Exchange in order to determine the existence of the effect in Sweden. The sample is raw data from three different indices which then have been analyzed through Excel. The finding from this study is that there is a “January effect” present on the Stockholm Stock Exchange today. This seasonal anomaly can be seen for small firms listed on the Small Cap at the Stockholm Stock Exchange. Small firms present abnormal returns during January that is consistent over the sample period. Small firms consistently outperforms large firms during the month of January, an outperformance that cannot be seen in any other month during a given year. The study also concludes that December is a strong month, especially for large firms. This creates a discussion on the exploration of the market inefficiency and calls for further studies on the matter. Further evidence of such an exploration can be seen on the last five days of trading in December for small firms. Small firms consistently present high returns during the last trading days of December, thus strengthen the theory that there is an exploration of the market inefficiency.

Στην παρούσα εργασία ασχοληθήκαμε με το φαινόμενο του Ιανουαρίου και την επίδρασή του στις χρηματιστηριακές αγορές επτά επιλεγμένων χωρών, της Γερμανίας, της Ελλάδας, της Αυστρίας, του Ιταλίας, της Αγγλίας, της Ρωσίας και της Ολλανδίας. Το φαινόμενο του Ιανουαρίου (January effect) αποτελεί ένα είδος εποχιακής ανωμαλίας και ημερολογιακού φαινομένου, που επηρεάζει τις τάσεις που παρατηρούνται στην χρηματιστηριακή αγορά και τις αγορές τίτλων κάθε αρχή νέους έτους. Οι ερμηνείες που έχουν δοθεί από την ακαδημαϊκή κοινότητα για την εμφάνιση του January effect ποικίλουν και θα μελετηθούν στο κυρίως μέρος της διπλωματικής εργασίας. Συγκεντρώνοντας και μελετώντας την διεθνή βιβλιογραφία για το συγκεκριμένο φαινόμενο, καθώς επίσης διάφορες μελέτες περιπτώσεων σε διαφορετικές χρηματιστηριακές αγορές και σε συνδυασμό με τη χρήση του στατιστικού πακέτου ανάλυσης e-views, καταφέραμε να εμβαθύνουμε στο φαινόμενο και να διακρίνουμε την έντασή τους στις προαναφερθείσες χώρες. Τα σημαντικότερα ευρήματα παρουσιάζονται στο δεύτερο κεφάλαιο της παρούσας πτυχιακής εργασίας, μετά τη βιβλιογραφική ανασκόπηση. / -

The stock market have received a fair amount of attention in the media recently as a result of the ongoing covid-19 pandemic. The question arouse if there is one month in the year that outperforms all other months in the stock market. A well known anomaly in the world of finance referred to as, the January effect, came up to discussion. Earlier studies of this subject have achieved different results and conclusions. Therefore, this study aims to examine if the January effect exists on mid cap and large cap companies on the Swedish stock market. To achieve this, one large cap portfolio and one mid cap portfolio both equally weighted with ten companies each were created. These two portfolios were analyzed with, among others, a well known regression model for season anomalies. The results of this study concludes that the January effect does not exist in neither of the portfolios.

In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. This resulted in new models being developed, such as the Fama and French three-factor model which takes the size of a company into consideration (Fama & French, 1992). However, since the discovering of the size effect, several researchers have started to question its existence. (Asgharian & Hansson, 2008) Moreover, short after Banz findings, a study by Keim (1983) introduced results that complements the size effect. Keims study suggests that the size effect is present due to the fact that small-cap firms outperform large- cap firms during the month of January. This seasonal anomaly is called the “January effect” and could possibly be the reason for the existence of the size effect. The purpose of this study is to investigate if there is a size effect and/or a January effect present on the Swedish stock market (OMX) when using Enterprise Value as the measure for size. Enterprise Value has been chosen in order to consider the full capital structure of companies, hence, not solely the equity value. In order to answer these research questions, a quantitative study has been conducted on companies being listen on the OMX during the time period 2000-2019. The findings of the research are that there is no size effect present on the OMX. Furthermore, the research has found that there is a January effect present on the OMX. This paper suggests that the January effect might have been the reason for the presence of the size effect in history, but as of now, the size effect has diminished but the January effect still remains.