SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Halloween Effect in U.S. Sectors
14 references·6 citing·43 second hop
The Halloween Effect in U.S. Sectors (2009)The Halloween Effect in U.S. SectorsHandbook of the Economics of Finance (2013)Handbook of the Economics of …Gone fishin’: Seasonality in trading activity and asset prices (2009)Gone fishin’: Seasonality in …Volume, liquidity, and liquidity risk☆ (2007)Volume, liquidity, and liquid…Is it the weather? (2007)Is it the weather?A liquidity-augmented capital asset pricing model (2006)A liquidity-augmented capital…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Stock market returns: A note on temperature anomaly (2004)Stock market returns: A note …Winter Blues: A SAD Stock Market Cycle (2003)Winter Blues: A SAD Stock Mar…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)The Halloween Indicator, “Sel…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Tax-Motivated Trading and Price Pressure: An Analysis of Mutual Fund Holdings (2000)Tax-Motivated Trading and Pri…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market (2023)Day-of-the-week effect and vo…The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time (2020)The Halloween indicator, “Sel…Sell in May and Go Away: Still Good Advice for Investors? (2014)Sell in May and Go Away: Stil…Are stock markets really so inefficient? The case of the “Halloween Indicator” (2013)Are stock markets really so i…An anatomy of calendar effects (2012)An anatomy of calendar effectsThe Halloween effect: Trick or treat? (2010)The Halloween effect: Trick o…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)Mood, misattribution, and judgments of well-being: Informative and directive functions of affective states. (1983)Feelings as information: informational and motivational functions of affective states (1989)Risk as feelings. (2001)The effect of weather on consumer spending (2009)Investor sentiment and the price of oil (2017)Temperature and industrial output: Firm-level evidence from China (2017)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Understanding commonality in liquidity around the world (2011)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Taming the Factor Zoo: A Test of New Factors (2020)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Implications for GAAP from an analysis of positive research in accounting (2010)Financial Crises: Explanations, Types and Implications (2013)Squaring venture capital valuations with reality (2019)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Economic Forces and the Stock Market (1986)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Sports Sentiment and Stock Returns (2007)Attention to Global Warming (2019)Climate Change, Firm Performance, and Investor Surprises (2023)On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)Seasonality in the cross-section of stock returns☆ (2007)Striking oil: Another puzzle? (2008)On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)The financial economics of gold — A survey (2015)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)Liquidity and leverage (2008)
this work references cited by second hop

References

  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2003Winter Blues: A SAD Stock Market Cycle1,105 cited
  • 2006A liquidity-augmented capital asset pricing model891 cited
  • 2004Stock market returns: A note on temperature anomaly541 cited
  • 2002The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle413 cited
  • 2002Anomalies and Market Efficiency300 cited
  • 2007Is it the weather?175 cited
  • 2009Gone fishin’: Seasonality in trading activity and asset prices167 cited
  • 2007Volume, liquidity, and liquidity risk☆150 cited
  • 2000Tax-Motivated Trading and Price Pressure: An Analysis of Mutual Fund Holdings104 cited

Cited by

  • 2010The Halloween effect: Trick or treat?60 cited
  • 2012An anatomy of calendar effects46 cited

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

  • 2013Are stock markets really so inefficient? The case of the “Halloween Indicator”38 cited
  • 2014Sell in May and Go Away: Still Good Advice for Investors?34 cited
  • 2020The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time30 cited
  • 2023Day-of-the-week effect and volatility in stock returns: evidence from the Indian stock market26 cited