On the other end of the continuum, for moderately risky firms, there is strong evidence of the presence of the December effect. One of possible explanations of the January effect is the yearend bonus received in the month of January.
Keywords: Behavioural Finance, Stochastic Dominance Approach, Monthly Anomaly, January Effect, December Effect, TOY Anomaly, Abnormal Returns, KS Type Test, PSX
Further, some other studies documented evidence of the presence of December effect in stock markets of Thailand and GCC countries [Ariss, Rezvanian, and Mehdian (2011); Tangjitprom (2011)].
On the other end of the spectrum, for moderately risky firms, there is strong evidence of the presence of the December effect. The possible explanation of the January effect is the year-end bonuses received in the month of January.
The mean values of beta-based portfolio returns provide a clue for the presence of the January and December effect in PSX: a theme, which we explored in this study.
Exploring the December Effect in Medium-Beta Portfolio
There a positive and significant end of December effect observed in KSE-100 index that shows the evidence of the turn of the year or the end of the year effect.
The December effect or The Turn of the year effect is positively Half month effect: OLS regression calculates the mean daily returns for the first half and second half of each month and tests whether each significant at 1% level.
Price to earnings ratio anomaly: the positive December effect and prior researches do not support this observation.
In additions, there are some strong evidences on month-of-the-year effect like March, May and December effects.
Table 5 shows the results on month-of-the-year anomalies, the evidences show significant March, May, June and December effects. The column (1) reports the AR-DOLS results in which only December months appears with negative significant slope.