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The holiday effect in the Central and Eastern European financial markets
16 references·1 citing·53 second hopsampled
The holiday effect in the Central and Eastern European financial markets (2011)The holiday effect in the Central and Eas…Gone fishin’: Seasonality in trading activity and asset prices (2009)Gone fishin’: Seasonality in …Efficient tests of stock return predictability☆ (2006)Efficient tests of stock retu…Disappearing anomalies: a dynamic analysis of the persistence of anomalies (2006)Disappearing anomalies: a dyn…The Efficient Market Hypothesis and Its Critics (2003)The Efficient Market Hypothes…Good Day Sunshine: Stock Returns and the Weather (2003)Good Day Sunshine: Stock Retu…Stock Return Predictability: Is it There? (2001)Stock Return Predictability: …The time-series relations among expected return, risk, and book-to-market (1999)The time-series relations amo…Murphy's Law and Market Anomalies (1999)Murphy's Law and Market Anoma…Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIHigh Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)High Stock Returns before Hol…HOLIDAY CLOSINGS AND SECURITY RETURNS (1989)HOLIDAY CLOSINGS AND SECURITY…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Mood and self-efficacy: Impact of joy and sadness on perceived capabilities (1985)Mood and self-efficacy: Impac…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Another look at the holiday effect (2013)Another look at the holiday e…Risk, Return, and Equilibrium: Empirical Tests (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Cross-Section of Expected Stock Returns (1992)Stock price reaction to news and no-news: drift and reversal after headlines (2003)Short sales, institutional investors and the cross-section of stock returns (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Stock returns and the weekend effect (1980)Size-related anomalies and stock return seasonality (1983)Stock return variances (1986)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)The Role of Feelings in Investor Decision-Making (2005)How Much Do Investors Care About Macroeconomic Risk? 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The challenges and opportunities of Social Media (2009)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)Asymmetric causality tests with an application (2011)Evaluating multiple classifiers for stock price direction prediction (2015)Applications of deep learning in stock market prediction: Recent progress (2021)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)The Cost of Transacting (1968)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)Out of Control: Visceral Influences on Behavior (1996)The Role of Emotions in Marketing (1999)Risk as feelings. (2001)Sentiment During Recessions (2012)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Tail Risk and Asset Prices (2014)The VIX, the variance premium and stock market volatility (2014)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Econometrics of Financial Markets (2012)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 2003The Efficient Market Hypothesis and Its Critics2,159 cited
  • 2003Good Day Sunshine: Stock Returns and the Weather1,742 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 2006Efficient tests of stock return predictability☆992 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 2001Stock Return Predictability: Is it There?897 cited
  • 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes446 cited
  • 1985Mood and self-efficacy: Impact of joy and sadness on perceived capabilities418 cited
  • 1999The time-series relations among expected return, risk, and book-to-market273 cited
  • 1999Murphy's Law and Market Anomalies271 cited
  • 2006Disappearing anomalies: a dynamic analysis of the persistence of anomalies175 cited
  • 2009Gone fishin’: Seasonality in trading activity and asset prices167 cited

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1989
HOLIDAY CLOSINGS AND SECURITY RETURNS
104 cited

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  • 2013Another look at the holiday effect27 cited