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Stock market anomalies

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References

1981The relationship between return and market value of common stocks5,928 cited
1979Risk measurement when shares are subject to infrequent trading2,767 cited
1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
1983Size-related anomalies and stock return seasonality1,800 cited
1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
1981Misspecification of capital asset pricing1,286 cited
1979The effect of personal taxes and dividends on capital asset prices1,212 cited
1983The anomalous stock market behavior of small firms in January848 cited
1983Biases in computed returns771 cited
1978Anomalies in relationships between securities' yields and yield-surrogates750 cited
1982Dividends and Taxes: Some Empirical Evidence677 cited
1983Stock market seasonality573 cited
1983Transaction costs and the small firm effect529 cited
1989Earnings Yields, Market Values, and Stock Returns497 cited
1981A Possible Explanation of the Small Firm Effect432 cited

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1983Transaction costs and the small firm effect431 cited

Cited by

2009Heterogeneity, Market Mechanisms, and Asset Price Dynamics206 cited
1990Volatility forecasting without data-snooping155 cited
1993Corporate Governance and the Regulation of Financial Reporting115 cited
2000The Evolution of Stock Markets in Transition Economies106 cited
1996Taxes and dividends: The UK evidence105 cited
1996Financial Distress, Asset Sales, and Lender Monitoring82 cited
2003Testing the Significance of Calendar Effects81 cited
1997The Behaviour of UK Stock Prices and Returns: is the Market Efficient?79 cited
2007Halloween or January? Yet another puzzle75 cited
2010Do Seasonal Anomalies Still Work?69 cited
2006Book-to-market ratio and returns on the JSE69 cited
2004Time Varying Volatility in the Indian Stock Market68 cited
1999Equity Style Timing (corrected)67 cited
2022Emotions and stock market anomalies: A systematic review66 cited
1992Intraweek and intraday seasonalities in stock market risk premia: Cash and futures64 cited
2017Factor-Based Investing: The Long-Term Evidence58 cited