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Volume and turn-of-the-year behavior

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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
1977Estimating betas from nonsynchronous data2,751 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
1976Capital market seasonality: The case of stock returns1,229 cited
1983The anomalous stock market behavior of small firms in January848 cited
1983Biases in computed returns771 cited
1983Transaction costs and the small firm effect529 cited
1984Differential information and the small firm effect527 cited
1982Weekend Effects on Stock Returns: A Note460 cited
1981A Possible Explanation of the Small Firm Effect432 cited
1983Transaction costs and the small firm effect431 cited

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1983

429 cited

Cited by

2004Nonsecular Regularities in Returns and Volume150 cited
2004Institutional trading and the turn-of-the-year effect144 cited
1991Seasonality in Daily Bond Returns118 cited
1987Can Tax-Loss Selling Explain the January Effect? A Note104 cited
2004Quarterly Trading Patterns of Financial Institutions103 cited
1989Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market101 cited
1992Odd-Lot Transactions around the Turn of the Year and the January Effect89 cited
1993Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach89 cited
2000Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets87 cited
1995Day-of-the-week effects in federal funds rates: Further empirical findings82 cited
1998The persistent holiday effect: additional evidence76 cited
1995The Effects of Reverse Splits on the Liquidity of the Stock75 cited
2001Month of the year effect and January effect in pre‐WWI stock returns: evidence from a non‐linear GARCH model72 cited
2001The day-of-the-week regularity in the stock markets of China71 cited
1987Seasonality in Canadian Stock Prices: A Test of the "Tax-Loss-Selling" Hypothesis70 cited
2022Emotions and stock market anomalies: A systematic review66 cited