Econ Dept Seminars

Lecture Details

Ben Marshall from Massey presented an interesting seminar (with lots of Q&As) on an interesting empirical phenomenon why in the US january equity returns seem to be a good predictor of returns in the rest of the year. Abstract The ability of positive (negative) equity market returns in January to predict positive (negative) returns in the following 11 months of the year is the subject of much discussion in the financial media. We find the January Barometer does not work in any of the 22 international equity markets we consider. At first glance, the January Barometer appears to work in US equity indices; however closer examination reveals this performance is spurious. We cannot rule out time-varying risk premia as an explanation and our US individual stock analysis is inconsistent with the US index results. Original mp4s of this video and other resources related to the presentationseminar (eg pdf of the paper) can be obtained at httpuctv.canterbury.ac.nzmodulesjournaljournal.php?space_key=1&module_key=70