The January Anomaly and Anomalies in January

Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent return anomalies. Consistent with tax-loss selling playing a key role, we document that short-term reversals strengthen while momentum changes sign at the turn of the year, and such patterns are more pronounced following years of recession and poor market performance. By contrast, no significant change in anomaly performance occurs midyear, casting doubt on window-dressing as a primary driving force