The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid‐Ask Bias
研究发现一月效应主要是低股价效应，而非市值效应；在1977-1986年，低股价股票在扣除交易成本后的一月收益低于高股价股票，且知情交易者未能消除低股价股票交易前的超额收益，可能因高交易成本和买卖价差偏差所致。
ABSTRACT The January effect is primarily a low‐share price effect and less so a market value effect. In the recent 1977–1986 period, after‐transaction‐cost raw and excess January returns are lower on low‐price stocks than on high‐price stocks. Failure of informed traders to eliminate significantly large before‐transaction‐cost excess January returns on low‐price stocks is potentially explained by higher transaction costs and a bid‐ask bias. At the least, the January anomaly found in prior tests is not persistent, and thereby, not likely to be exploitable by typical investors.