The january effect across volatility regimes Agnani, Betty Aray, Henry Markov switching model Stock returns Seasonality Size portfolios Using a Markov regime switching model, this article presents evidence on the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes, one with high volatility and other with low volatility. We obtain a time-varying January effect that is, in general, positive and significant in both volatility regimes. However, this effect is larger in the high volatility regime. In sharp contrast with most previous literature we find two major results: i) the January effect exists for all size portfolios. ii) the negative correlation between the magnitude of the January effect and the size of portfolios fails across volatility regimes. Moreover, our evidence supports a decline in the January effect for all size portfolios except the smallest, for which it is even larger. 2014-04-30T12:40:06Z 2014-04-30T12:40:06Z 2007 info:eu-repo/semantics/report Agnani, B.; Aray, H. The january effect across volatility regimes. Universidad de Granada. Departamento de Teoría e Historia Económica (2007). (The Papers; 07/04). [http://hdl.handle.net/10481/31500] http://hdl.handle.net/10481/31500 eng The Papers;07/04 http://creativecommons.org/licenses/by-nc-nd/3.0/ info:eu-repo/semantics/openAccess Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License Universidad de Granada. Departamento de Teoría e Historia Económica