Seasonality in stock returns

In this article, we investigate the January effect on stocks traded at New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and National Association of Securities Dealers Automated Quotations (NASDAQ). Unlike other empirical works we suggest expanding the model to cover several main effects. By doing so we find that the January effect is not the only effect, and it cannot be rejected that the effect from selected years are so powerful that it can affect the empirical findings.