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The January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange 1987-1997
16 references·0 citing·42 second hop
The January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange 1987-1997 (2000)The January effect and monthly seasonalit…The Review of Economics and Statistics (1997)The Review of Economics and S…Security price anomalies in the London International Stock Exchange: a 60 year perspective (1997)Security price anomalies in t…Calendar effects in the London Stock Exchange FT–SE indices (1995)Calendar effects in the Londo…Stock Market Anomalies. (1989)Stock Market Anomalies.Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets (1989)Seasonal and Day‐of‐the‐Week …An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Risk and return (1984)Risk and returnThe anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Stock market seasonality (1983)Stock market seasonalitySize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium (1980)Dividends, Short Selling Rest…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Measuring abnormal performance (1992)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Stock prices and the Wall Street weather (1993)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Statistical principles in experimental design. (1962)Time Series Analysis: Forecasting and Control (1977)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)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)Measuring security price performance (1980)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)International Evidence on the Robustness of the Day-of-the-Week Effect (1993)Hourly volatility spillovers between international equity markets (1994)The Individual Investor and the Weekend Effect (1994)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does Academic Research Destroy Stock Return Predictability? (2015)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Performance in Competitive Environments: Gender Differences (2003)The Labor Demand Curve is Downward Sloping: Reexamining the Impact of Immigration on the Labor Market (2003)Employment Fluctuations with Equilibrium Wage Stickiness (2005)
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References

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  • 1997The Review of Economics and Statistics1,541 cited
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  • 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
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  • 1997Security price anomalies in the London International Stock Exchange: a 60 year perspective

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