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İstanbul Menkul Kıymetler Borsası'nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi
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İstanbul Menkul Kıymetler Borsası'nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi (2008)İstanbul Menkul Kıymetler Borsası'nda haf…Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchange (2004)Are Calendar Anomalies Still …Stock returns and the day-of-the-week effect in istanbul Stock Exchange (2003)Stock returns and the day-of-…An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey (2002)An Investigation of the Day-o…Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation (1995)Informational Efficiency of t…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…THE RELEVANCE OF QUASI RATIONALITY IN COMPETITIVE MARKETS (1988)THE RELEVANCE OF QUASI RATION…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Stock returns and the weekend effect (1980)Stock returns and the weekend…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Periodic Structure in the Brownian Motion of Stock Prices (1962)Periodic Structure in the Bro…Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Statistical principles in experimental design. (1962)Predicting returns in the stock and bond markets (1986)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Using daily stock returns (1985)Introductory Econometrics for Finance (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Tomorrow on the New York Stock Exchange (1965)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2003)Multivariate GARCH models: a survey (2006)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
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  • 1980Stock returns and the weekend effect2,015 cited
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  • 2002An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey53 cited
  • 2003Stock returns and the day-of-the-week effect in istanbul Stock Exchange40 cited
  • 2004Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchange38 cited

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  • 1995Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation30 cited
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