Both authors from the School of Business Administration, University of Michigan. We would like to thank Cliff Ball, Robert S. Hansen, Robert Haugen (the referee), Greg Niehaus, Krishna Ramaswamy, Nejat Seyhun, René Stulz (the editor), and participants in workshops at the University of Michigan, the University of Pittsburgh, and the University of Wisconsin for useful comments. An earlier version of this paper was circulated under the title of “Risk, Return, and January.” This research is partially supported by a Michigan Business School summer research grant.
Portfolio Rebalancing and the Turn-of-the-Year Effect
Version of Record online: 30 APR 2012
© 1989 the American Finance Association
The Journal of Finance
Volume 44, Issue 1, pages 149–166, March 1989
How to Cite
RITTER, J. R. and CHOPRA, N. (1989), Portfolio Rebalancing and the Turn-of-the-Year Effect. The Journal of Finance, 44: 149–166. doi: 10.1111/j.1540-6261.1989.tb02409.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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