SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Do Seasonal Anomalies Still Work?
16 references·3 citing·38 second hop
Do Seasonal Anomalies Still Work? (2010)Do Seasonal Anomalies Still Work?Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIHigh Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)High Stock Returns before Hol…The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)The Buying and Selling Behavi…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A monthly effect in stock returns (1987)A monthly effect in stock ret…Vas Ist Das? (1983)Vas Ist Das?Stock market seasonality (1983)Stock market seasonalitySize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Biases in computed returns (1983)Biases in computed returnsThe relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Certain Observations on Seasonal Movements in Stock Prices (1942)Certain Observations on Seaso…Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs (2019)Dash for Cash: Monthly Market…Sell in May and Go Away: Still Good Advice for Investors? (2014)Sell in May and Go Away: Stil…Online Portfolio Selection: A Survey (2012)Online Portfolio Selection: A…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)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)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A transaction data study of weekly and intradaily patterns in stock returns (1986)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)The Behavior of Stock Prices Around Institutional Trades (1995)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)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Behavior of Stock-Market Prices (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)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)The arbitrage theory of capital asset pricing (1976)An Anatomy of Trading Strategies (1998)Inefficient Markets (2000)Short-sale constraints and stock returns (2002)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)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1983Biases in computed returns771 cited
  • 1987A monthly effect in stock returns720 cited
  • 1983Stock market seasonality573 cited
  • 1988The Buying and Selling Behavior of Individual Investors at the Turn of the Year482 cited
  • 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes446 cited
  • 1983Vas Ist Das?429 cited
  • 1942Certain Observations on Seasonal Movements in Stock Prices

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

309 cited

Cited by

  • 2012Online Portfolio Selection: A Survey68 cited
  • 2019Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs64 cited
  • 2014Sell in May and Go Away: Still Good Advice for Investors?34 cited