-
1
-
-
0002235761
-
Price movements in speculative markets: Trends or random walks?
-
P. Cootner (ed.), (MIT: Cambridge)
-
Alexander, S.S. (1961), 'Price Movements in Speculative Markets: Trends or Random Walks?' in P. Cootner (ed.), The Random Character of Stock Market Prices, pp. 199-218 (MIT: Cambridge).
-
(1961)
The Random Character of Stock Market Prices
, pp. 199-218
-
-
Alexander, S.S.1
-
2
-
-
0002235761
-
Price movements in speculative markets: Trends or random walks, no. 2
-
P. Cootner (ed.), (MIT: Cambridge)
-
-(1964), 'Price Movements in Speculative Markets: Trends or Random Walks, No. 2', in P. Cootner (ed.), The Random Character of Stock Market Prices (MIT: Cambridge).
-
(1964)
The Random Character of Stock Market Prices
-
-
-
3
-
-
0003389957
-
Evidence on intra-month seasonality in stock returns
-
E. Dimson (ed.), Cambridge: Cambridge University Press
-
Ariel, R.A. (1988), 'Evidence on Intra-Month Seasonality in Stock Returns' in E. Dimson (ed.), Stock Market Anomalies (Cambridge: Cambridge University Press), pp. 3-15.
-
(1988)
Stock Market Anomalies
, pp. 3-15
-
-
Ariel, R.A.1
-
4
-
-
0347768710
-
Security price anomalies in the london international stock exchange: A sixty year perspective
-
forthcoming
-
Arsad, Z. and J.A. Coutts (1997), 'Security Price Anomalies in the London International Stock Exchange: A Sixty Year Perspective', Applied Financial Economics, Vol.7, No. 4 (forthcoming).
-
(1997)
Applied Financial Economics
, vol.7
, Issue.4
-
-
Arsad, Z.1
Coutts, J.A.2
-
5
-
-
0000134788
-
On measuring skewness and elongation in common stock return distributions: The case of the market index
-
Badrinath, S.G. and S. Chatterjee (1988), 'On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index', Journal of Business, Vol.61, No.4, pp. 451-472
-
(1988)
Journal of Business
, vol.61
, Issue.4
, pp. 451-472
-
-
Badrinath, S.G.1
Chatterjee, S.2
-
6
-
-
84960665481
-
A data-analytic look at skewness and elongation in common stock return distributions
-
-(1991), 'A Data-Analytic Look at Skewness and Elongation in Common Stock Return Distributions', Journal of Business and Economic Statistics, Vol.9, pp. 223-233
-
(1991)
Journal of Business and Economic Statistics
, vol.9
, pp. 223-233
-
-
-
7
-
-
0001772362
-
Using daily stock returns in event studies and the choice of parametric test statistics
-
Berry, M.A., G.W. Gallinger and G.V. Henderson Jr. (1990), 'Using Daily Stock Returns in Event Studies and the Choice of Parametric Test Statistics', Quarterly Journal of Business Finance and Economics, Vol.29, No.1, pp. 70-85.
-
(1990)
Quarterly Journal of Business Finance and Economics
, vol.29
, Issue.1
, pp. 70-85
-
-
Berry, M.A.1
Gallinger, G.W.2
Henderson Jr., G.V.3
-
8
-
-
84978591523
-
The weekend effect in UK stock market returns
-
Board, J.L.G. and C.M.S. Sutcliffe (1988), 'The Weekend Effect in UK Stock Market Returns', Journal of Business Finance & Accounting, Vol.15. No.2, pp. 199-213.
-
(1988)
Journal of Business Finance & Accounting
, vol.15
, Issue.2
, pp. 199-213
-
-
Board, J.L.G.1
Sutcliffe, C.M.S.2
-
9
-
-
0039677004
-
Introduction
-
E. Dimson (ed.), Cambridge: Cambridge University Press
-
Bowers, J. and E. Dimson (1988), 'Introduction', in E. Dimson (ed.), Stock Market Anomalies (Cambridge: Cambridge University Press), pp. 3-15.
-
(1988)
Stock Market Anomalies
, pp. 3-15
-
-
Bowers, J.1
Dimson, E.2
-
10
-
-
84977707376
-
Simple technical trading rules and the stochastic properties of stock returns
-
Brock, W., J. Lakonishok and B. LeBaron (1992), 'Simple Technical Trading Rules and the Stochastic Properties of Stock Returns', Journal of Finance, Vol.47, No.5, pp. 1731-1764
-
(1992)
Journal of Finance
, vol.47
, Issue.5
, pp. 1731-1764
-
-
Brock, W.1
Lakonishok, J.2
LeBaron, B.3
-
11
-
-
36749092418
-
Using daily stock returns: The case of event studies
-
Brown, S.J. and J.B. Warner (1985), 'Using Daily Stock Returns: The Case of Event Studies', Journal of Financial Economics, Vol.14, pp. 3-31.
-
(1985)
Journal of Financial Economics
, vol.14
, pp. 3-31
-
-
Brown, S.J.1
Warner, J.B.2
-
12
-
-
0000784516
-
Turn-of-month and pre-holiday effects on stock returns
-
Cadsby, C.B. and M. Ratner (1992), 'Turn-of-Month and Pre-Holiday Effects on Stock Returns', Journal of Banking and Finance, Vol.16, No.3, pp. 497-509.
-
(1992)
Journal of Banking and Finance
, vol.16
, Issue.3
, pp. 497-509
-
-
Cadsby, C.B.1
Ratner, M.2
-
13
-
-
0000257490
-
An analysis of seasonality in the UK equity market
-
March
-
Clare, A.D., Z. Psaradakis and S.H Thomas (1995), 'An Analysis of Seasonality in the UK Equity Market', The Economic Journal, Vol. 105 (March), pp. 398-409.
-
(1995)
The Economic Journal
, vol.105
, pp. 398-409
-
-
Clare, A.D.1
Psaradakis, Z.2
Thomas, S.H.3
-
14
-
-
84993660576
-
Seasonalities in NYSE bid-ask spreads and stock returns in January
-
Clark, R.A., J.J. McConnell and M. Singh, (1992), 'Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January', Journal of Finance, Vol.47, No.5, pp. 1999-2013.
-
(1992)
Journal of Finance
, vol.47
, Issue.5
, pp. 1999-2013
-
-
Clark, R.A.1
McConnell, J.J.2
Singh, M.3
-
15
-
-
84978597132
-
Day of the week effects on stock returns: International evidence
-
Condoyanni, L., J. O'Hanlon and C.W.R. Ward (1987), 'Day of the Week Effects on Stock Returns: International Evidence', Journal of Business Finance & Accounting, Vol.14, No.2, pp. 159-174
-
(1987)
Journal of Business Finance & Accounting
, vol.14
, Issue.2
, pp. 159-174
-
-
Condoyanni, L.1
O'Hanlon, J.2
Ward, C.W.R.3
-
16
-
-
84974329534
-
An examination of the robustness of the weekend effect
-
Connolly, R. A. (1989), 'An Examination of the Robustness of the Weekend Effect', Journal of Financial and Quantitative Analysis, Vol.24. No.2, pp. 133-169
-
(1989)
Journal of Financial and Quantitative Analysis
, vol.24
, Issue.2
, pp. 133-169
-
-
Connolly, R.A.1
-
17
-
-
0010128270
-
Parameter stability in the market model: Tests and time varying parameter estimation with UK data
-
Coutts, J.A., T.C. Mills and J. Roberts (1997), 'Parameter Stability in the Market Model: Tests and Time Varying Parameter Estimation with UK Data', Journal of the Royal Statistical Society, Series D ( The Statistician), Vol.46, No.1, pp. 57-70.
-
(1997)
Journal of the Royal Statistical Society, Series D ( The Statistician)
, vol.46
, Issue.1
, pp. 57-70
-
-
Coutts, J.A.1
Mills, T.C.2
Roberts, J.3
-
18
-
-
0002897891
-
The behaviour of stock prices on mondays and fridays
-
Nov.-Dec
-
Cross, F. (1973), 'The Behaviour of Stock Prices on Mondays and Fridays', Financial Analysts Journal (Nov.-Dec), pp. 67-69
-
(1973)
Financial Analysts Journal
, pp. 67-69
-
-
Cross, F.1
-
20
-
-
0002528209
-
The behaviour of stock market prices
-
Fama, E.F. (1965), 'The Behaviour of Stock Market Prices', Journal of Business, Vol.38, No.1, pp. 34-105.
-
(1965)
Journal of Business
, vol.38
, Issue.1
, pp. 34-105
-
-
Fama, E.F.1
-
21
-
-
84974489658
-
Seasonality in NASDAQ dealer spreads
-
Fortin, R.D., R.C. Grube and M. Joy (1989), 'Seasonality in NASDAQ Dealer Spreads', Journal of Financial and Quantitative Analysis, Vol.24, No.3, pp. 397-407.
-
(1989)
Journal of Financial and Quantitative Analysis
, vol.24
, Issue.3
, pp. 397-407
-
-
Fortin, R.D.1
Grube, R.C.2
Joy, M.3
-
22
-
-
9144241857
-
Recent advances in modelling seasonality
-
Frances, P.H. (1996), 'Recent Advances in Modelling Seasonality', Journal of Economic Surveys, Vol.10, No.3, pp. 299-345.
-
(1996)
Journal of Economic Surveys
, vol.10
, Issue.3
, pp. 299-345
-
-
Frances, P.H.1
-
23
-
-
0042948202
-
The warsaw stock exchange: A test of market efficiency
-
Gordon, B. and L. Rittenburg (1995), 'The Warsaw Stock Exchange: A Test of Market Efficiency', Comparative Economic Studies, Vol. 37, No. 2, pp. 1-27.
-
(1995)
Comparative Economic Studies
, vol.37
, Issue.2
, pp. 1-27
-
-
Gordon, B.1
Rittenburg, L.2
-
24
-
-
38249013419
-
Forecasting stock market prices: Lessons for forecasters
-
Granger, C.W.J (1993), 'Forecasting Stock Market Prices: Lessons for Forecasters', International Journal of Forecasting, Vol.9, pp. 3-18.
-
(1993)
International Journal of Forecasting
, vol.9
, pp. 3-18
-
-
Granger, C.W.J.1
-
27
-
-
0001390414
-
A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices-1935 to 1994
-
Hudson, R., M. Dempsey and K. Keasey (1996), 'A Note on the Weak Form Efficiency of Capital Markets: The Application of Simple Technical Trading Rules to UK Stock Prices-1935 to 1994', Journal of Banking and Finance, Vol.20, No.6, pp. 1121-1132
-
(1996)
Journal of Banking and Finance
, vol.20
, Issue.6
, pp. 1121-1132
-
-
Hudson, R.1
Dempsey, M.2
Keasey, K.3
-
28
-
-
84974449935
-
Seasonal and size anomalies in the Japanese stock market
-
Kato, K. and J.S. Schallheim (1985), 'Seasonal and Size Anomalies in the Japanese Stock Market', Journal of Financial and Quantitative Analysis, Vol.20, No.1, pp. 107-118
-
(1985)
Journal of Financial and Quantitative Analysis
, vol.20
, Issue.1
, pp. 107-118
-
-
Kato, K.1
Schallheim, J.S.2
-
30
-
-
48749147730
-
Size related anomalies and stock return seasonality
-
Keim, D.B. (1983), 'Size Related Anomalies and Stock Return Seasonality', Journal of Financial Economics, Vol. 12, pp. 13-32.
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 13-32
-
-
Keim, D.B.1
-
31
-
-
0003327292
-
Stock market regularities: A synthesis of the evidence and explanations
-
E. Dimson (ed.), (Cambridge: Cambridge University Press)
-
-(1988), 'Stock Market Regularities: A Synthesis of the Evidence and Explanations', in E. Dimson (ed.), Stock Market Anomalies, pp. 16-39 (Cambridge: Cambridge University Press).
-
(1988)
Stock Market Anomalies
, pp. 16-39
-
-
-
32
-
-
0000277728
-
Are seasonal anomalies real: A ninety year perspective
-
Lakonishok, J. and S. Smidt (1988), 'Are Seasonal Anomalies Real: A Ninety Year Perspective', Review of Financial Studies, Vol. 1, No. 4, pp. 403-25.
-
(1988)
Review of Financial Studies
, vol.1
, Issue.4
, pp. 403-425
-
-
Lakonishok, J.1
Smidt, S.2
-
33
-
-
0003220898
-
Size related anomalies and trading activity of UK institutional investors
-
E. Dimson, (Cambridge: Cambridge University Press)
-
Levis, M. (1988), 'Size Related Anomalies and Trading Activity of UK Institutional Investors', in E. Dimson, Stock Market Anomalies, pp.155-175 (Cambridge: Cambridge University Press).
-
(1988)
Stock Market Anomalies
, pp. 155-175
-
-
Levis, M.1
-
34
-
-
0000603515
-
The determinants and dynamics of bid-ask spreads on the london stock exchange
-
Menyah, K. and K. Paudyal (1996), 'The Determinants and Dynamics of Bid-Ask Spreads on the London Stock Exchange', Journal of Financial Research, Vol.19, No.3, pp. 377-394
-
(1996)
Journal of Financial Research
, vol.19
, Issue.3
, pp. 377-394
-
-
Menyah, K.1
Paudyal, K.2
-
35
-
-
0000248956
-
Technical analysis and the London stock exchange: Testing trading rules using the FT-30
-
forthcoming
-
Mills, T.C. (1997), 'Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT-30', International Journal of Finance and Economics, Vol.2 (forthcoming).
-
(1997)
International Journal of Finance and Economics
, vol.2
-
-
Mills, T.C.1
-
36
-
-
0002832996
-
Calendar effects in the London stock exchange FT-SE indices
-
Mills, T.C. and J.A. Coutts (1995), 'Calendar Effects in the London Stock Exchange FT-SE Indices', European Journal of Finance, Vol.1, No.1, pp. 79-94.
-
(1995)
European Journal of Finance
, vol.1
, Issue.1
, pp. 79-94
-
-
Mills, T.C.1
Coutts, J.A.2
-
37
-
-
0007792953
-
Misspecification testing and robust estimation of the market model and their implications for event studies
-
-and J. Roberts, (1996), 'Misspecification Testing and Robust Estimation of the Market Model and their Implications for Event Studies', Applied Economics, Vol.28, pp. 559-566
-
(1996)
Applied Economics
, vol.28
, pp. 559-566
-
-
Roberts, J.1
-
38
-
-
0012269205
-
General elections in the UK in the post 1950 era and the behaviour of the stock market
-
Peel, D. and P. Pope, (1983), 'General Elections in the UK in the Post 1950 Era and the Behaviour of the Stock Market', Investment Analyst, Vol. 67, No. 1, pp. 4-10.
-
(1983)
Investment Analyst
, vol.67
, Issue.1
, pp. 4-10
-
-
Peel, D.1
Pope, P.2
-
39
-
-
34248494199
-
Misspecification of capital asset pricing: Empirical anomalies based on earnings' yields and market values
-
Reinganum, M.R. (1981), 'Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings' Yields and Market Values', Journal of Financial Economics, Vol.9, No.1, pp. 89-104.
-
(1981)
Journal of Financial Economics
, vol.9
, Issue.1
, pp. 89-104
-
-
Reinganum, M.R.1
-
40
-
-
0002145263
-
A direct test on roll's conjecture on the firm size effect
-
-(1982), 'A Direct Test on Roll's Conjecture on the Firm Size Effect', Journal of Finance, Vol.37, No.1, pp. 27-35.
-
(1982)
Journal of Finance
, vol.37
, Issue.1
, pp. 27-35
-
-
-
41
-
-
48749146127
-
The anomalous stock market behaviour of small firms in january: Empirical tests for year-end tax effects
-
-(1983), 'The Anomalous Stock Market Behaviour of Small Firms in January: Empirical Tests for Year-End Tax Effects', Journal of Financial Economics, Vol.12, pp. 89-104.
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 89-104
-
-
-
42
-
-
0001547971
-
Taxes and stock return seasonality: Evidence from the london stock exchange
-
-and A. C. Shapiro (1987), 'Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange', Journal of Business, Vol.60, No.2, pp. 281-295
-
(1987)
Journal of Business
, vol.60
, Issue.2
, pp. 281-295
-
-
Shapiro, A.C.1
-
43
-
-
48749146127
-
The anomalous stock market behaviour of small firms in january: Empirical tests for year-end tax effects
-
Rozeff, M. S. and W.R. Kinney, (1976), 'The Anomalous Stock Market Behaviour of Small Firms in January: Empirical Tests for Year-End Tax Effects', Journal of Financial Economics, Vol.12, pp. 89-104.
-
(1976)
Journal of Financial Economics
, vol.12
, pp. 89-104
-
-
Rozeff, M.S.1
Kinney, W.R.2
-
44
-
-
11144340044
-
Seasonality estimation in thin markets
-
Theobald, M. and V. Price (1984), 'Seasonality Estimation in Thin Markets', Journal of Finance, Vol.39. No.2, pp. 377-392
-
(1984)
Journal of Finance
, vol.39
, Issue.2
, pp. 377-392
-
-
Theobald, M.1
Price, V.2
-
45
-
-
38249014228
-
Intraweek and intraday seasonalities in stock market risk premia: Cash and futures
-
Yadav, P.K. and P.F. Pope (1992), Intraweek and Intraday Seasonalities in Stock Market Risk Premia: Cash and Futures', Journal of Banking and Finance, Vol.16, No.1, pp. 233-270
-
(1992)
Journal of Banking and Finance
, vol.16
, Issue.1
, pp. 233-270
-
-
Yadav, P.K.1
Pope, P.F.2
-
46
-
-
0000095552
-
A heteroskedastcity-consistent covariance matrix estimator and a direct test for heteroskedastcity
-
White, H. (1980), 'A Heteroskedastcity-consistent Covariance Matrix Estimator and a Direct Test for Heteroskedastcity', Econometrica, Vol. 48, No. 4, pp. 817-38.
-
(1980)
Econometrica
, vol.48
, Issue.4
, pp. 817-838
-
-
White, H.1
|