| dc.description.abstract | In this thesis, we first look at the theory concerning efficient markets and anomalies. We then look at two effects in January in the Norwegian stock market, using data from the Oslo Stock Exchange (OSE) from the period 1980 – 2014. We first test for the existence of a January effect at the OSE in both an equally-weighted (EW) and a value-weighted (VW) portfolio. The January effect states that there exist abnormally high average returns in January compared to the average returns in all the other months of the year. In the testing procedure, we use both parametric and non-parametric tests and, find a statistically significant January effect in the EW portfolio, with a mean return that is at least 2.6% higher than the returns in the other months. Further, we test the EW size portfolios, and find a higher and more statistically significant January effect for small size firms, with a mean return that is at least 6.2% higher than the returns in the other months. Then, we test for the January effect for three sub-periods to see how the effect has changed over the years. For the EW portfolio the January effect has disappeared in resent years, whereas for the smallest size portfolio it still exists. Last, we test for the existence of the other January effect at the OSE. This effect states that the January return has the power to predict the market return for the rest of the year. If January returns are positive then the returns for the rest of the year are more likely to be positive and greater than if Januarys are negative. We use statistical tests and find a statistically significant other January effect for EW excess returns in the Norwegian stock market. We also check if the size of the firms has an impact on the other January effect, but we do not find such a connection. | nb_NO |
