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In January high idiosyncratic volatility stocks on average outperform low volatility stocks regardless of firm size, book-to-market equity, past returns, and institutional trading, while in other months they underperform. This positive January relation is concentrated among low-price stocks that also exhibit negative mean, but highly skewed, returns for the remaining months of the year. We suggest these findings are driven by investor preference for stocks with lottery features at the start of the New Year. Similarly, gambling activities in Las Vegas exhibit January seasonality. Also, Chinese stock markets as a whole and highly volatile Chinese stocks in particular outperform at the turn of the Chinese New Year, but not in January.