TITLE
"January Return Seasonality in the U.S. Insurance Industry,"
Journal of Insurance Issues,
Khaled Elkhal, Roger Shelor, and Mark Cross, Fall 2004, Vol. 27,
No. 2, pp. 123-133.
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ABSTRACT
This research of a two-sample t-test examines the January effect
in the U. S. insurance industry over the period 1980-1999. Results
of a two-sample t-test indicate that the mean January returns
are significantly higher than non-January returns, and January
returns for smaller firms are significantly higher than returns
of larger firms. A stochastic dominance approach is used to determine
whether the large January returns can be due to omitted risk factors.
The results indicate that January returns dominate non-January
returns by second-order stochastic dominance. Similarly, January
returns for smaller insurers dominate those of larger insurers
by second-order stochastic dominance. Omitted risk factors are
thus not a likely explanation of the January effect, in the case
of the insurance industry.
[Key words: January effect, stochastic dominance, insurance]
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