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C/F/1008. Dissertation. Is the January effect present in the New York Stock Exchange and London Stock Exchange, 2003 -2009.

WORDS:

10750

DATE:

2011

PRICE:

109.99 GBP

This dissertation examines whether the January effect is present in the New York and London stock exchange. The study begins by providing the background to the topic. The hypotheses of the study are that the January effect exists in the FTSE 100 and the S&P 500 over the period 2003-2009, that tax-loss selling and window dressing arising from capital losses are correlated with abnormal returns in the month of January, and that the trading volume ratio, market capitalisation and earnings growth play a particularly important role in stock price movements during recession. The review of literature discusses topics like the Window Dressing Hypothesis, Tax-Loss Selling Hypothesis, and the Accounting Information Hypothesis. The research methodology is provided, with the philosophy and approach detailed. Data will be collected through secondary research analysis. Regression analysis is provided, and the Equally-Weighted Average Returns and Value-Weighted Average Returns are assessed. Conclusions are made regarding the topics discussed.

KEYWORDS: Dissertation, January effect, New York stock exchange, London stock exchange, FTSE 100, S&P 500, trading volume ratio, market capitalisation, Window Dressing Hypothesis, Tax-Loss Selling Hypothesis, the Accounting Information Hypothesis, Equally-Weighted Average Returns, Regression analysis!,