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
Citation
DING, David K. and Charoenwong, Charlie.
A Simultaneous Study of the Size, Earnings/Price, and January Effects in the Stock Markets of Taiwan, Korea, and Thailand. (1996). Advances in Pacific Basin Financial Markets. 2, 253-272.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1179