EFFICIENT MARKETS. The Efficient Market Hypothesis. Most tests of EMH: How fast information is incorporated in prices Not whether information is correctly incorporated in prices Weak Form Semi-strong Form Strong Form. Fair Game. Information set Φ t can not be used to earn excess return.
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Last trade in December was primarily at the bid, and this tendency was more pronounced for small stocks.
First trade in January was between bid and ask.
Return to appear high in the first few days of January.
Selling securities with substantial losses before the year end.
This creates a tax loss which should cover more than transaction costs.
Purchasing similar securities in early January.Explanations of January Effect