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Stochastic properties of german stock returns
16 references·3 citing·34 second hop
Stochastic properties of german stock returns (1996)Stochastic properties of german stock ret…Allgemeines Statistisches Archiv (2005)Allgemeines Statistisches Arc…The variation of certain speculative prices (1997)The variation of certain spec…Journal of the American Statistical Association (1995)Journal of the American Stati…The Individual Investor and the Weekend Effect (1994)The Individual Investor and t…The Weekend Effect: Trading Patterns of Individual and Institutional Investors (1990)The Weekend Effect: Trading P…The distribution of earnings news over time and seasonalities in aggregate stock returns (1987)The distribution of earnings …A monthly effect in stock returns (1987)A monthly effect in stock ret…Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Limit Theory for Moving Avera…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Stock market seasonality (1983)Stock market seasonalityWeekend Effects on Stock Returns: A Note (1982)Weekend Effects on Stock Retu…Laws of Large Numbers for Sums of Extreme Values (1982)Laws of Large Numbers for Sum…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders? (2005)Individual Investor Sentiment…Estimating financial risk under time-varying extremal return behavior (2003)Estimating financial risk und…A tail estimator for the index of the stable paretian distribution (1998)A tail estimator for the inde…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)Capital market seasonality: The case of stock returns (1976)Size-related anomalies and stock return seasonality (1983)The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)Efficient Capital Markets and Martingales (1989)Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)Equity issues and offering dilution (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Earnings news and small traders (1992)Inferring investor behavior: Evidence from TORQ data (2000)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1987A monthly effect in stock returns720 cited
  • 1983Stock market seasonality573 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
  • 1982Weekend Effects on Stock Returns: A Note460 cited
  • 2005Allgemeines Statistisches Archiv426 cited
  • 1994The Individual Investor and the Weekend Effect333 cited
  • 1987The distribution of earnings news over time and seasonalities in aggregate stock returns305 cited
  • 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities301 cited
  • 1982Laws of Large Numbers for Sums of Extreme Values

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278 cited

Cited by

  • 1998A tail estimator for the index of the stable paretian distribution32 cited
  • 2003Estimating financial risk under time-varying extremal return behavior22 cited
  • 2005Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?21 cited