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The weekend effect on the distribution of stock prices

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References

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1982Weekend Effects on Stock Returns: A Note460 cited
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1979Anticipated information releases reflected in call option prices325 cited
1982Valuation of American call options on dividend-paying stocks319 cited
1964Theory of Speculation301 cited

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Cited by

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2002Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market56 cited
2002An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey53 cited
1991A unified method for pricing options on diffusion processes51 cited
2017Option Mispricing around Nontrading Periods48 cited
2003The Reversing Weekend Effect: Evidence from the U.S. Equity Markets40 cited
1996The predictive power of implied stochastic variance from currency options40 cited
2008The relationship between implied and realized volatility: evidence from the Australian stock index option market36 cited
2002Implied volatility forecasts in the grains complex31 cited
2012Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options24 cited
1993The Behavior of Volatility Expectations and Their Effects on Expected Returns24 cited
1990International trading/nontrading time effects on risk estimation in futures markets19 cited
2003Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market16 cited