SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model
16 references·3 citing·40 second hop
A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model (2002)A note on stock market seasonality: The i…Seasonal and Size Anomalies in the Japanese Stock Market (1985)Seasonal and Size Anomalies i…Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects (1985)Patterns in Japanese Common S…Risk and return (1984)Risk and returnOptimal stock trading with personal taxes (1984)Optimal stock trading with pe…Optimal bond trading with personal taxes (1984)Optimal bond trading with per…Year-End Tax-Induced Sales and Stock Market Seasonality (1983)Year-End Tax-Induced Sales an…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 return seasonalities and the tax-loss selling hypothesis (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…New evidence on the nature of size-related anomalies in stock prices (1983)New evidence on the nature of…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…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…Daily seasonality in crude oil returns and volatilities (2014)Daily seasonality in crude oi…The January effect across volatility regimes (2010)The January effect across vol…Calendar anomaly in the Greek stock market: Stochastic dominance analysis (2007)Calendar anomaly in the Greek…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)Risk measurement when shares are subject to infrequent trading (1979)Event study methodologies and the size effect (1986)Turn-of-month and pre-holiday effects on stock returns: Some international evidence (1992)Is size dead? A review of the size effect in equity returns (2011)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Examination of the Robustness of the Weekend Effect (1989)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)Risk, Return, and Equilibrium: Empirical Tests (1973)INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)The seasonal behavior of the liquidity premium in asset pricing (1993)Institutions and Individuals at the Turn-of-the-Year (1997)Seasonality in the cross-section of stock returns☆ (2007)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Market Reaction to Stock Splits (1987)The Courage of Misguided Convictions (1999)Optimization Methods in Finance (2006)Statistical principles in experimental design. (1962)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)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)Using daily stock returns (1985)Capital markets research in accounting (2001)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)Volume for Winners and Losers: Taxation and Other Motives for Stock Trading (1986)Trading patterns, bid-ask spreads, and estimated security returns (1989)Do after-tax returns affect mutual fund inflows? (2002)
this work references cited by second hop

References

  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1983Stock market seasonality573 cited
  • 1983Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns409 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices337 cited
  • 1983Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence319 cited
  • 1984Risk and return317 cited
  • 1984Optimal stock trading with personal taxes308 cited
  • 1984Optimal bond trading with personal taxes265 cited
  • 1977CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR262 cited
  • 1983Stock return seasonalities and the tax-loss selling hypothesis259 cited
  • 1985Seasonal and Size Anomalies in the Japanese Stock Market256 cited
  • 1985Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects246 cited

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

  • 1983Year-End Tax-Induced Sales and Stock Market Seasonality138 cited
  • Cited by

    • 2007Calendar anomaly in the Greek stock market: Stochastic dominance analysis45 cited
    • 2014Daily seasonality in crude oil returns and volatilities35 cited
    • 2010The January effect across volatility regimes33 cited