-
1
-
-
84977735622
-
Nonnormalities and tests of asset pricing theories
-
Affleck-Graves J., and McDonald B. Nonnormalities and tests of asset pricing theories. Journal of Finance 44 (1989) 889-908
-
(1989)
Journal of Finance
, vol.44
, pp. 889-908
-
-
Affleck-Graves, J.1
McDonald, B.2
-
2
-
-
84977715787
-
The January anomaly: Effects of low share price, transaction costs and bid-ask bias?
-
Bhardwaj R.K., and Brooks L.D. The January anomaly: Effects of low share price, transaction costs and bid-ask bias?. Journal of Finance 47 (1992) 553-575
-
(1992)
Journal of Finance
, vol.47
, pp. 553-575
-
-
Bhardwaj, R.K.1
Brooks, L.D.2
-
3
-
-
0001651803
-
Biases in computed returns: An application to the size effect
-
Blume M.E., and Stambaugh R.F. Biases in computed returns: An application to the size effect. Journal of Financial Economics 12 (1983) 387-404
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 387-404
-
-
Blume, M.E.1
Stambaugh, R.F.2
-
4
-
-
11144270762
-
Is there still a January effect?
-
Keim D.B., and Ziemba W.T. (Eds), Cambridge University Press, New York
-
Booth D.G., and Keim D.B. Is there still a January effect?. In: Keim D.B., and Ziemba W.T. (Eds). Security Market Imperfections in Worldwide Equity Markets (2000), Cambridge University Press, New York 169-178
-
(2000)
Security Market Imperfections in Worldwide Equity Markets
, pp. 169-178
-
-
Booth, D.G.1
Keim, D.B.2
-
6
-
-
0002370281
-
Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence
-
Brown P., Keim D.B., Kleidon A.W., and Marsh T.A. Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence. Journal of Financial Economics 12 (1983) 105-127
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 105-127
-
-
Brown, P.1
Keim, D.B.2
Kleidon, A.W.3
Marsh, T.A.4
-
7
-
-
4444226896
-
All things considered, taxes drive the January effect
-
Chen H., and Singal V. All things considered, taxes drive the January effect. Journal of Financial Research 27 (2004) 351-372
-
(2004)
Journal of Financial Research
, vol.27
, pp. 351-372
-
-
Chen, H.1
Singal, V.2
-
9
-
-
84977703147
-
Further evidence on investor overreaction and stock market seasonality
-
De Bondt W.F.M., and Thaler R. Further evidence on investor overreaction and stock market seasonality. Journal of Finance 42 (1987) 557-581
-
(1987)
Journal of Finance
, vol.42
, pp. 557-581
-
-
De Bondt, W.F.M.1
Thaler, R.2
-
10
-
-
40149086305
-
-
Easterday, K.E., 2005. The declining January effect? An examination of monthly market returns for firms trading on NYSE, AMEX and NASDAQ, Unpublished working paper, University of Cincinnati, OH.
-
Easterday, K.E., 2005. The declining January effect? An examination of monthly market returns for firms trading on NYSE, AMEX and NASDAQ, Unpublished working paper, University of Cincinnati, OH.
-
-
-
-
11
-
-
0002344794
-
Bootstrap methods: Another look at the jackknife
-
Efron B. Bootstrap methods: Another look at the jackknife. Annals of Statistics 7 (1979) 1-26
-
(1979)
Annals of Statistics
, vol.7
, pp. 1-26
-
-
Efron, B.1
-
12
-
-
0002528209
-
The behaviour of stock market prices
-
Fama E.F. The behaviour of stock market prices. Journal of Business 38 (1965) 34-105
-
(1965)
Journal of Business
, vol.38
, pp. 34-105
-
-
Fama, E.F.1
-
13
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama E.F., and French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
14
-
-
43949159894
-
Finite sample properties of the generalized method of moments in tests of conditional asset pricing models
-
Ferson W.E., and Foerster S.-R. Finite sample properties of the generalized method of moments in tests of conditional asset pricing models. Journal of Financial Economics 36 (1994) 29-55
-
(1994)
Journal of Financial Economics
, vol.36
, pp. 29-55
-
-
Ferson, W.E.1
Foerster, S.-R.2
-
15
-
-
0036209065
-
Emerging stock markets return seasonalities: The January effect and the tax-loss selling hypothesis
-
Fountas S., and Segredakis K.N. Emerging stock markets return seasonalities: The January effect and the tax-loss selling hypothesis. Applied Financial Economics 12 (2002) 291-299
-
(2002)
Applied Financial Economics
, vol.12
, pp. 291-299
-
-
Fountas, S.1
Segredakis, K.N.2
-
16
-
-
0037410557
-
The declining January effect: Evidence from the US equity markets
-
Gu A.Y. The declining January effect: Evidence from the US equity markets. Quarterly Review of Economics and Finance 43 (2003) 395-404
-
(2003)
Quarterly Review of Economics and Finance
, vol.43
, pp. 395-404
-
-
Gu, A.Y.1
-
19
-
-
0038115163
-
Anticipation of the January small firm effect in the US futures markets
-
Keim D.B., and Ziemba W.T. (Eds), Cambridge University Press, New York
-
Hensel C.R., and Ziemba W.T. Anticipation of the January small firm effect in the US futures markets. In: Keim D.B., and Ziemba W.T. (Eds). Security Market Imperfections in Worldwide Equity Markets (2000), Cambridge University Press, New York 179-202
-
(2000)
Security Market Imperfections in Worldwide Equity Markets
, pp. 179-202
-
-
Hensel, C.R.1
Ziemba, W.T.2
-
20
-
-
48749147730
-
Size-related anomalies and stock return seasonality: Further empirical evidence
-
Keim D.B. Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics 12 (1983) 13-32
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 13-32
-
-
Keim, D.B.1
-
21
-
-
1342343771
-
Trading patterns, bid-ask spreads, and estimated security returns: The case of common stock returns at calendar turning points
-
Keim D.B. Trading patterns, bid-ask spreads, and estimated security returns: The case of common stock returns at calendar turning points. Journal of Financial Economics 25 (1989) 75-98
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 75-98
-
-
Keim, D.B.1
-
22
-
-
0031138827
-
Book-to-market, dividend yield, and expected market returns: A time-series analysis
-
Kothari S.P., and Shanken J. Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics 44 (1997) 169-203
-
(1997)
Journal of Financial Economics
, vol.44
, pp. 169-203
-
-
Kothari, S.P.1
Shanken, J.2
-
23
-
-
0036178464
-
Anomalies in US equity markets: A re-examination of the January effect
-
Mehdian S., and Perry M.J. Anomalies in US equity markets: A re-examination of the January effect. Applied Financial Economics 12 (2002) 141-145
-
(2002)
Applied Financial Economics
, vol.12
, pp. 141-145
-
-
Mehdian, S.1
Perry, M.J.2
-
24
-
-
48749146127
-
The anomalous stock market behaviour of small firms in January: Empirical tests for tax-loss selling effects
-
Reinganum M.R. The anomalous stock market behaviour of small firms in January: Empirical tests for tax-loss selling effects. Journal of Financial Economics 12 (1983) 89-104
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 89-104
-
-
Reinganum, M.R.1
-
25
-
-
40149102890
-
-
Rendon, J., Ziemba, W.T., 2005. Is the January effect still alive in the futures markets? Unpublished working paper, University of British Columbia, Vancouver, Canada.
-
Rendon, J., Ziemba, W.T., 2005. Is the January effect still alive in the futures markets? Unpublished working paper, University of British Columbia, Vancouver, Canada.
-
-
-
-
26
-
-
21144464157
-
A test for multivariate normality in stock returns
-
Richardson M., and Smith T. A test for multivariate normality in stock returns. Journal of Business 66 (1993) 295-321
-
(1993)
Journal of Business
, vol.66
, pp. 295-321
-
-
Richardson, M.1
Smith, T.2
-
27
-
-
0038812577
-
Is publicity killing the January effect?
-
Riepe M.W. Is publicity killing the January effect?. The Journal of Financial Planning 11 (1998) 64-70
-
(1998)
The Journal of Financial Planning
, vol.11
, pp. 64-70
-
-
Riepe, M.W.1
-
28
-
-
84977324321
-
A possible explanation of the small firm effect
-
Roll R. A possible explanation of the small firm effect. Journal of Finance 36 (1981) 879-888
-
(1981)
Journal of Finance
, vol.36
, pp. 879-888
-
-
Roll, R.1
-
29
-
-
0002662410
-
Vas ist das? The turn-of-the-year effect and the risk premia of small firms
-
Roll R. Vas ist das? The turn-of-the-year effect and the risk premia of small firms. Journal of Portfolio Management 9 (1983) 18-28
-
(1983)
Journal of Portfolio Management
, vol.9
, pp. 18-28
-
-
Roll, R.1
-
32
-
-
0001055989
-
Certain observations on seasonal movements in stock prices
-
Wachtel S. Certain observations on seasonal movements in stock prices. Journal of Business 15 (1942) 184-193
-
(1942)
Journal of Business
, vol.15
, pp. 184-193
-
-
Wachtel, S.1
|