期刊名称：Ovidius University Annals: Economic Sciences Series
电子版ISSN：2393-3127
出版年度：2015
卷号：15
期号：2
语种：English
出版社：Ovidius University Press
摘要：One of the first steps in discovery is the awareness of anomaly. Very often nature violates the expectations that rule the normal science. This paper examines the anomalies that can arise on capital markets, with an emphasis on the January effect. Several hypotheses are proposed in order to explain the abnormal returns recorded by small firms in the first month of the year: the windowdressing hypothesis, tax loss selling hypothesis or the ‘not so rational’ behaviour of the investors. Using the BET index from 2000 to 2014 and a dummy variable as a proxy for January effect, it can be noticed that Romanian capital market seems to be prone to experience higher returns especially in the less volatile period, as the one before the crisis.
