| dc.description.abstract | Appeared inconsistent with the Random Walk Hypothesis – which is developed based on the Efficient Market Hypothesis, many market anomalies were found and become famous. Many researchers have examined those phenomena over different periods of time in different markets. Receiving mixed results, their existences in a particular market over a particular period of time are still in the grey zone. The only market anomaly that this study is focused on is the January effect. To increase create a he firm size is added in the test, the relationship between this factor and the phenomenon is also one of the two main problem in this study. The January effect is well-known with its affection on small caps and tax-loss selling appears as the most plausible reason of the occurrence of the rally. This research uses dummy variables for the regression model and check out of this seasonality effect presence in the Vietnamese firm’s stock returns and the impingement between this phenomenon and the firm size factor. In the 5-year period from 2014 to 2018, firms traded in the Ho Chi Minh Stock Exchange (HOSE) at the first trading day of each year are tested. Unexpectedly, the occurrence of the January effect is not the output of this work. Furthermore, when taking the size factor into account, the result is also not supported for the suggestion of Thaler (1987) that this anomaly is primarily a small firm happening. If the anomaly does exist, investors can have their opportunities throughout the stock market. However, since these anomalies are confirmed by the public and profitable trading strategies are used widely in the market, the chance of earning an excessive return or earning profit by the above strategies will disappear. | en_US |
