Anomalies or illusions? Evidence from stock markets in eighteen countries

Journal of International Money and Finance

Volumn 13, Issue 1, 1994, Pages 83-106

  Agrawal, Anup ^a   Tandon, Kishore ^b  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001913449     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(94)90026-4     Document Type: Article

References (52)

1. A Monthly Effect in Stock Returns
2. High Stock Returns Before Holidays
3. The Relationship Between Return and Market Value of Common Stock
4. Private Information Trading Volume and Stock Return Variances
5. The Intertemporal Relation Between the U.S. and Japanese Stock Markets
6. Noise
7. Introduction
8. Stock Return Seasonalities and the “Tax-loss Selling” Hypothesis: Analysis of the Arguments and Australian Evidence
9. Day of the Week Effects and Commodity Price Changes
10. Day of the Week Effects and the Futures Market
11. The Weekend Effect in Information Releases A Study of Earnings and Dividend Announcements
12. The Anomaly That Isn't There A Comment on Friday-the-Thirteenth
13. Weekend Effects on Stock Returns A Comment
14. The Behavior of Stock Market Prices
15. Efficient Capital Markets II
16. Security Prices and Stock Exchange Holidays in Relation to Short Selling
17. From T-Bills to Common Stocks Investigating the Generality of Intra-Week Return Seasonality
18. A Theory of the Interday Variations in Volumes Variance and Trading Costs in Securities Markets
19. Stock Returns and the Weekend Effect
20. Stock Return Variances: The Arrival of Information and the Reaction of Traders
21. An Investigation into Seasonality in the Futures Markets
22. Day of the Week Effects and Asset Returns
23. The Random Walk Hypothesis of Stock Market Behavior
24. Stock Market Seasonality: International Evidence
25. Correlations in Price Changes and Volatility across International Stock Markets
26. A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns
27. The Week-End Effect in Common Stock Returns The International Evidence
28. Is There A Monthly Effect in Stock Market Returns? Evidence from Foreign Countries
29. A Twist on the Monday Effect in Stock Prices: Evidence from the U.S. and Foreign Stock Markets
30. Day-of-the-Week Effects in Financial Futures An Analysis of GNMA T-Bond T-Note and T-Bill Contracts
31. Can Tax-Loss Selling Explain the January Effect? A Note
32. A Further Investigation of the Weekend Effect in Stock Returns
33. Journal of Finance
34. Window Dressing by Pension Fund Managers
35. Volume and Turn-of-the-Year Behavior
36. Are Seasonal Anomalies Real? A Ninety Year Perspective
37. Data-Snooping Biases in Tests of Financial Asset Pricing Models
38. The Distribution of Foreign Exchange Price Changes Trading Day Effects and Risk Measurement
39. On the Current State of the Stock Market Rationality Hypothesis
40. The Distribution of Earnings News Over Time and Seasonalities in Aggregate Stock Returns
41. Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values
42. The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-loss Selling Effects
43. The Buying and Selling Behavior of Individual Investors at the Turn of the Year
44. New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods A Note
45. Vas ist das? The Turn-of-the-Year Effect and the Return Premia of Small Firms
46. Orange Juice and Weather
47. Capital Market Seasonality: The Case of Stock Returns
48. Day-of-the-Week and Intraday Effects in Stock Returns
49. Anomalies The January Effect
50. Anomalies Weekend Holiday Turn of the Month and Intraday Effects