Behind The Markets Podcast: The 2022 Jacobs Levy Quantitative Finance Conference
Behind the Markets Podcast
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The Jnuary Effect, Is It the Result of Arbitrage?
One thing we've found in our book that a lot of the so phenomenon, like the jnuary effect, has completely disappeared in the data over the last 20 years. And is it the result of arbitrage and people knowing about it, and therefore bying early or not? Alsoif it's interesting, if you do effact your grat of m from 19 26 onward with a crisp am, it goes up, and then it crashes. They all go back to about zero, and then they start up after that. So there's like a cycle. It's up and then it's a. Now, you're right, two thousand six sevent eight were bad for momentum, but
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