1 Does the Other January Effect Have Market Timing Ability? Ben R. Marshall Department of Economics and Finance Massey University Private Bag 11-222, Palmerston North New Zealand Tel: +64 6 350 5799 Ext. 5402 Fax: +64 6 350 5651 B.Marshall@massey.ac.nz Nuttawat Visaltanachoti* Department of Commerce Massey University Private Bag 102-904, Auckland New Zealand Tel: +64 9 414 0800 Ext. 9460 Fax: +64 9 441 8177 N.Visaltanachoti@massey.ac.nz Abstract The Other January Effect (OJE), which suggests positive (negative) equity market returns in January predict positive (negative) returns in the following 11 months of the year, does not outperform a buy-and-hold approach in the US equity market and therefore adds no value to market timers. There is also no evidence of the OJE working consistently on individual stocks or international markets. The OJE requirement that the abnormally high January return be observed imposes a large opportunity cost. We highlight potential pitfalls of inferring the market timing ability of the OJE from the spread of 11-month returns following positive and negative Januaries. JEL Classification: G10, G11, G12, G14 Keywords: Other January Effect, January Barometer, Seasonality, Return Predictability, Quantitative Investment First Version: 29 September 2007 This Version: 12 January 2009 * Corresponding Author. We wish to thank seminar participants at Massey University, Victoria University, Canterbury University, and the Australian National University, and especially Henk Berkman, Glenn Boyle, Ben Jacobsen, Martin Lally, Kuntara Pukthuanthong, Richard Roll, Jeff Stangl, Tom Smith, Jeff Wongchoti, and Fei Wu for valuable comments.