Title

A Simultaneous Study of the Size, Earnings/Price, and January Effects in the Stock Markets of Taiwan, Korea, and Thailand

Publication Type

Book Chapter

Publication Date

1996

Abstract

This study examines the size, earnings/price, January, and interaction effects in the stock markets of Taiwan, Korea, and Thailand. Various portfolio formation methods, namely, the Within Groups, Independent Groups, and Within Groups with Randomization methods are employed together with three different definitions of excess returns--Comparison, Market-Adjusted, and Market Model returns. We find the presence of a strong January effect, especially for Taiwan and Korea. The tax-loss selling hypothesis cannot be used to explain this effect. Rather, employees' investment of their year-end bonus income may contribute to such an effect. Size and earnings/price effects are much less pronounced in these countries than in the United States. Moreover, interaction effects do not seem to explain the portfolio returns.

Discipline

Business

Research Areas

Finance

Publication

Advances in Pacific Basin Financial Markets

Volume

2

First Page

253

Last Page

272

ISBN

9780762300938

Publisher

JAI Press

City or Country

Greenwich, CN