Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach
直接检验了“一月效应”是否由遗漏的风险因素导致。基于1926-1991年NYSE数据，发现小盘股一月收益随机占优于其他月份，表明风险因素难以解释该效应。
This paper provides a direct test of the hypothesis that large January returns can be attributed to omitted risk factors. Data from 1926-1991 show that the January return in the smallest decile of NYSE firms dominates the January returns for all other deciles by the first-order stochastic dominance. Similarly, January returns in all deciles (with the exception of ninth and tenth deciles) dominate non-January returns by first-, second-, or third-order stochastic dominance. The presence of stochastic dominance by January returns suggests that the omitted risk factors are not likely to explain the January effect.