The January Effect on Oslo Stock Exchange

Abstract

In this master thesis I study the phenomenon that is the January effect on Oslo Stock Exchange in the period 1980-2018. I do this by utilising OLS regression on both an equally weighted index and a value weighted index, estimating the return for each month. The results obtained in this paper provide evidence that the anomaly is present for the whole period. The effect is however not persistent over time, indicating that Oslo Stock Exchange has become more efficient over the years. The results also indicate that the size of the firm is relevant to how notable the effect is, supporting the well-established small firm effect.