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The size effect and the random walk hypothesis: evidence from the London Stock Exchange using Markov Chains
16 references·1 citing·50 second hop
The size effect and the random walk hypothesis: evidence from the London Stock Exchange using Markov Chains (2003)The size effect and the random walk hypot…Murphy's Law and Market Anomalies (1999)Murphy's Law and Market Anoma…FIRM SIZE, MONTHLY SEASONALITIES AND TAX-LOSS SELLING: FURTHER EVIDENCE FROM THE UK (1998)FIRM SIZE, MONTHLY SEASONALIT…Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-section of UK Companies (1996)Variation in Expected Stock R…Misspecification testing and robust estimation of the market model: estimating betas for the FT-SE industry baskets (1996)Misspecification testing and …Misspecification testing and robust estimation of the market model and their implications for event studies (1996)Misspecification testing and …Modelling Skewness and Kurtosis in the London Stock Exchange FT-SE Index Return Distributions (1995)Modelling Skewness and Kurtos…Calendar effects in the London Stock Exchange FT–SE indices (1995)Calendar effects in the Londo…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Are Stock Returns Predictable? 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References

  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1983Crises in the economic and financial structure272 cited
  • 1999Murphy's Law and Market Anomalies271 cited
  • 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
  • 1989Stock market anomalies174 cited
  • 1988Experimental tests of the mean-variance model for portfolio selection126 cited
  • 1991Are Stock Returns Predictable? A Test Using Markov Chains117 cited
  • 1995Modelling Skewness and Kurtosis in the London Stock Exchange FT-SE Index Return Distributions106 cited
  • 1996Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-section of UK Companies46 cited
  • 1969SHARE PRICE MOVEMENTS: A MARKOVIAN APPROACH*33 cited
  • 1996Misspecification testing and robust estimation of the market model and their implications for event studies30 cited
  • 1973The Behavior of Stock-Price Relatives—A Markovian Analysis24 cited
  • 1988The Pricing of Equity on the London Stock Exchange: Seasonality and Size premium22 cited
  • 1996Misspecification testing and robust estimation of the market model: estimating betas for the FT-SE industry baskets

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20 cited
  • 1998FIRM SIZE, MONTHLY SEASONALITIES AND TAX-LOSS SELLING: FURTHER EVIDENCE FROM THE UK19 cited
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    • 2005The size effect reversal in the USA15 cited