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The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias

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2006Why is the Accrual Anomaly not Arbitraged Away? The Role of Idiosyncratic Risk and Transaction Costs279 cited

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1997Institutions and Individuals at the Turn-of-the-Year276 cited

1999Murphy's Law and Market Anomalies271 cited

2004Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket244 cited

2008Implications of Transaction Costs for the Post–Earnings Announcement Drift239 cited

2005Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model230 cited

1998An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an anonymous referee. In addition, we appreciate the comments from seminar participants at the 1997 American Finance Association meetings, the University of Arizona, Kansas State University, the University of North Carolina, the 1996 Pacific Northwest Finance Conference, Virginia Polytechnic Institute, and the University of Wisconsin. This work has been partially supported by a summer research grant from the Pamplin College of Business.1202 cited

2010Accruals Quality, Stock Returns, and Macroeconomic Conditions174 cited

1996The January Effect: Still There after All These Years162 cited

2000Price transmission dynamics between ADRs and their underlying foreign securities161 cited

2011Gambling Preference and the New Year Effect of Assets with Lottery Features142 cited

1993DUAL BETAS FROM BULL AND BEAR MARKETS: REVERSAL OF THE SIZE EFFECT139 cited

1997PRIOR UNCERTAINTY, ANALYST BIAS, AND SUBSEQUENT ABNORMAL RETURNS135 cited

2010Transaction Costs in Transport Public–Private Partnerships: Comparing Procurement Procedures135 cited

2003Measuring Transaction Costs: An Incomplete Survey126 cited