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Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects
13 references·16 citing·44 second hop
Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects (1987)Anomalies: Seasonal Movements in Security…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…Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Day-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)New Findings Regarding Day-of…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Weekend Effects on Stock Returns: A Note (1982)Weekend Effects on Stock Retu…Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models (1982)Efficiency of Experimental Se…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 Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …Music Sentiment and Stock Returns Around the World (2021)Music Sentiment and Stock Ret…What does investors' online divergence of opinion tell us about stock returns and trading volume? (2018)What does investors' online d…The holy day effect (2015)The holy day effectDoes mood affect trading behavior? (2015)Does mood affect trading beha…New evidence on turn-of-the-month effects (2013)New evidence on turn-of-the-m…THE IMPACT OF DIVIDEND POLICY ON THE SHARE PRICE VOLATILITY: Malaysian Construction and Material Companies. (2012)THE IMPACT OF DIVIDEND POLICY…Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis (2012)Local sports sentiment and re…Calendar variation model based on ARIMAX for forecasting sales data with Ramadhan effect (2010)Calendar variation model base…The wandering weekday effect in major stock markets (2009)The wandering weekday effect …Weather and intraday patterns in stock returns and trading activity (2008)Weather and intraday patterns…The monthly and trading month effects in Greek stock market returns: 1996‐2002 (2008)The monthly and trading month…A Survey of the Monday Effect Literature (2003)A Survey of the Monday Effect…Seasonality in the Athens stock exchange (2000)Seasonality in the Athens sto…Calendar effects in the London Stock Exchange FT–SE indices (1995)Calendar effects in the Londo…GOOD NEWS, BAD NEWS, VOLUME, AND THE MONDAY EFFECT (1993)GOOD NEWS, BAD NEWS, VOLUME, …Intraweek and intraday seasonalities in stock market risk premia: Cash and futures (1992)Intraweek and intraday season…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)Anomalies or illusions? 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(1936)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An Introduction to the Theory of Rational Expectations Under Asymmetric Information (1981)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)The heterogeneous expectations hypothesis: Some evidence from the lab (2010)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)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)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)
this work references cited by second hop

References

  • 1980Stock returns and the weekend effect1,997 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1987A monthly effect in stock returns720 cited
  • 1982Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models565 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1982Weekend Effects on Stock Returns: A Note460 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited

Cited by

  • 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
  • 2008Weather and intraday patterns in stock returns and trading activity

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172 cited
  • 2021Music Sentiment and Stock Returns Around the World142 cited
  • 2003A Survey of the Monday Effect Literature119 cited
  • 2009The wandering weekday effect in major stock markets108 cited
  • 2012Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis85 cited
  • 2000Seasonality in the Athens stock exchange85 cited
  • 2015Does mood affect trading behavior?82 cited
  • 1993GOOD NEWS, BAD NEWS, VOLUME, AND THE MONDAY EFFECT77 cited
  • 2012THE IMPACT OF DIVIDEND POLICY ON THE SHARE PRICE VOLATILITY: Malaysian Construction and Material Companies.69 cited
  • 1992Intraweek and intraday seasonalities in stock market risk premia: Cash and futures64 cited
  • 2008The monthly and trading month effects in Greek stock market returns: 1996‐200255 cited
  • 2013New evidence on turn-of-the-month effects55 cited
  • 2010Calendar variation model based on ARIMAX for forecasting sales data with Ramadhan effect54 cited
  • 2015The holy day effect47 cited
  • 2018What does investors' online divergence of opinion tell us about stock returns and trading volume?45 cited