TITLE
"January Return Seasonality in the U.S. Insurance Industry," Journal of Insurance Issues, Khaled Elkhal, Roger Shelor, and Mark Cross, Fall 2004, Vol. 27, No. 2, pp. 123-133.
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ABSTRACT
This research of a two-sample t-test examines the January effect in the U. S. insurance industry over the period 1980-1999. Results of a two-sample t-test indicate that the mean January returns are significantly higher than non-January returns, and January returns for smaller firms are significantly higher than returns of larger firms. A stochastic dominance approach is used to determine whether the large January returns can be due to omitted risk factors. The results indicate that January returns dominate non-January returns by second-order stochastic dominance. Similarly, January returns for smaller insurers dominate those of larger insurers by second-order stochastic dominance. Omitted risk factors are thus not a likely explanation of the January effect, in the case of the insurance industry.

[Key words: January effect, stochastic dominance, insurance]