TY - JOUR T1 - The January Effect and the Global Value-Growth Premium JF - The Journal of Investing SP - 15 LP - 26 DO - 10.3905/joi.2002.319520 VL - 11 IS - 4 AU - Bala G Arshanapalli AU - T. Daniel Coggin AU - William B Nelson Y1 - 2002/11/30 UR - https://pm-research.com/content/11/4/15.abstract N2 - Here are important findings on abnormal returns for value stocks and the January effect, two challenges to the efficient market model. There is a January effect on the value-growth spread in the U.S. for both large- and small-capitalization stocks for the period 1975–2001. Use of four different benchmark indexes adds robustness to this result. Examination of five major non-U.S. markets—EuroPacific, France, Germany, Japan, and the U.K.—reveals a January effect in the large-cap value-growth spread for three markets (France, Germany, and U.K.) and in the small-cap value-growth spread for all five markets. ER -