The January Effect is an anomaly that poses serious questions for the semi-strong form of the EMH because studies find that ______

A. most publicly traded stocks experience price gains in the month of January.
B. most publicly traded stocks experience price declines in the month of January.
C. price volatility is significantly higher in late December and January than in all other periods.
D. stocks that did poorly during the year seem to offer above-average returns in January.

Correct Answer: D

There is no evidence on most stocks either doing well or poorly. Rather, there is a tendency for groups (specifically, small versus large and losers versus winners) to perform differently. The same is true for volatility. Losers showed higher volatility while winners showed lower volatility.