SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the Information Uncertainty Risk and the January Effect*
16 references·1 citing·31 second hop
On the Information Uncertainty Risk and the January Effect* (2006)On the Information Uncertainty Risk and t…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Trading patterns, bid-ask spreads, and estimated security returns (1989)Trading patterns, bid-ask spr…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Differential Information and Security Market Equilibrium (1985)Differential Information and …An exploratory investigation of the firm size effect (1985)An exploratory investigation …The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence (1983)Stock Return Seasonalities an…Stock market seasonality (1983)Stock market seasonalitySize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns (1983)Optimal Stock Trading with Pe…CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR (1977)CAPITAL GAINS TAXATION AND YE…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…The January effect across volatility regimes (2010)The January effect across vol…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)Applied Statistical Decision Theory (1962)The real term structure and consumption growth (1988)Assessing Alternative Proxies for the Expected Risk Premium (2005)Corporate social responsibility disclosure and the cost of equity capital: The roles of stakeholder orientation and financial transparency (2014)Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1985Differential Information and Security Market Equilibrium928 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1983Stock market seasonality573 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1983Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns409 cited
  • 1983Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence319 cited
  • 1989Trading patterns, bid-ask spreads, and estimated security returns288 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1977
CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR
262 cited

Cited by

  • 2010The January effect across volatility regimes33 cited