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Portfolio Rebalancing and the Turn‐of‐the‐Year Effect
dc.contributor.authorRitter, Jay R.en_US
dc.contributor.authorChopra, Navinen_US
dc.date.accessioned2012-05-21T15:48:37Z
dc.date.available2012-05-21T15:48:37Z
dc.date.issued1989-03en_US
dc.identifier.citationRitter, Jay R. ; Chopra, Navin (1989). "Portfolio Rebalancing and the Turnâ ofâ theâ Year Effect." The Journal of Finance 44(1). <http://hdl.handle.net/2027.42/91172>en_US
dc.identifier.issn0022-1082en_US
dc.identifier.issn1540-6261en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/91172
dc.description.abstractThis paper finds that, for the 1935–1986 period, the market's risk‐return relation does not have a January seasonal. The findings differ from those of other studies due to the use of value‐weighted, rather than equally weighted, portfolios. Inferences are sensitive to the weighting procedure because of the small‐firm return patterns in January. In particular, even in those Januaries for which the market return is negative, small‐firm returns are positive, and they are more positive the higher is beta. This is consistent with the portfolio rebalancing explanation of the turn‐of‐the‐year effect.en_US
dc.publisherBlackwell Publishing Ltden_US
dc.publisherWiley Periodicals, Inc.en_US
dc.titlePortfolio Rebalancing and the Turn‐of‐the‐Year Effecten_US
dc.typeArticleen_US
dc.rights.robotsIndexNoFollowen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationumBoth authors from the School of Business Administration, University of Michigan. We would like to thank Cliff Ball, Robert S. Hansen, Robert Haugen (the referee), Greg Niehaus, Krishna Ramaswamy, Nejat Seyhun, René Stulz (the editor), and participants in workshops at the University of Michigan, the University of Pittsburgh, and the University of Wisconsin for useful comments. An earlier version of this paper was circulated under the title of “Risk, Return, and January.” This research is partially supported by a Michigan Business School summer research grant.en_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/91172/1/j.1540-6261.1989.tb02409.x.pdf
dc.identifier.doi10.1111/j.1540-6261.1989.tb02409.xen_US
dc.identifier.sourceThe Journal of Financeen_US
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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