Macroeconomic Seasonality and the January Effect

Kramer, Charles, “Macroeconomic Seasonality and the January Effect,” The Journal of Finance, Vol 49, No 5 (1994), 1883-1891.

This paper seeks to explain the “January effect,” which is the phenomenon of small and low-priced stocks outperforming in January by a much wider and more significant margin than the rest of the year.

Kramer explains this effect by defining separate betas for January.