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The January Effect: Still There after All These Years

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References

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
1992The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias328 cited
1942Certain Observations on Seasonal Movements in Stock Prices309 cited

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2009Predictive Regressions with Time-Varying Coefficients149 cited
2002Anomalies in US equity markets: a re-examination of the January effect89 cited
2012'Sell in May and Go Away' Just Won't Go Away83 cited
1998The causes of stock market volatility in Australia79 cited
2007Halloween or January? Yet another puzzle75 cited
2005Calendar Effects in Chinese Stock Market73 cited
2009Risk and the January effect61 cited
2008The persistence of the small firm/January effect: Is it consistent with investors’ learning and arbitrage efforts?51 cited
2004The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets47 cited
2011Investor Optimism, False Hopes and the January Effect

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

44 cited

2007Feasible Momentum Strategies - Evidence from the Swiss Stock Market41 cited

2004Is idiosyncratic volatility priced?40 cited

2013Calendar anomalies in Russian stocks and bonds34 cited

2006Seasonalities in China's Stock Markets30 cited

2008The decline of calendar seasonality in the Australian stock exchange, 1958–200529 cited

2007Is the January effect still alive in the futures markets?26 cited