A SIMULTANEOUS TEST OF COMPETING THEORIES REGARDING THE JANUARY EFFECT
在多元和单变量背景下检验了一月效应的多种竞争理论，发现超额个人流动性（高现金余额和低预期税负）与一月效应最显著相关，而窗口粉饰和宏观经济季节性（除实际利率季节性外）无显著关系。
Abstract In a multivariate context, the January effect appears most significantly related to excess individual liquidity (i.e., high cash balances and low expected taxes), but multicollinearity may obscure the relation between other variables and the effect. In a univariate context, prior February–December returns and the standard deviation of prior‐year returns are most significantly related to the January effect. In both contexts, higher January volume and lower real interest rates are correlated with higher January returns. I find no evidence that window dressing by professional managers or macroeconomic seasonality (other than real interest rate seasonality) are significantly related to the January effect.