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The Buying and Selling Behavior of Individual Investors at the Turn of the Year
12 references·16 citing·43 second hopsampled
The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)The Buying and Selling Behavior of Indivi…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …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…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Biases in computed returns (1983)Biases in computed returnsThe relationship between return and market value of common stocks (1981)The relationship between retu…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Technostress Dark Side of Technology in the Workplace: A Scientometric Analysis (2020)Technostress Dark Side of Tec…What's Not There: Odd Lots and Market Data (2014)What's Not There: Odd Lots an…Tax-Motivated Trading by Individual Investors (2005)Tax-Motivated Trading by Indi…Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds (2002)Leaning for the Tape: Evidenc…Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns (2001)Capital Gains Tax Rules, Tax‐…Investment Decisions Depend on Portfolio Disclosures (1999)Investment Decisions Depend o…Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets (1998)Book-to-market, firm size, an…Institutions and Individuals at the Turn-of-the-Year (1997)Institutions and Individuals …The Individual Investor and the Weekend Effect (1994)The Individual Investor and t…Behavioral Capital Asset Pricing Theory (1994)Behavioral Capital Asset Pric…The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)The January Anomaly: Effects …Earnings news and small traders (1992)Earnings news and small trade…Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects (1990)Turn-of-Month Evaluations of …High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)High Stock Returns before Hol…Trading patterns, bid-ask spreads, and estimated security returns (1989)Trading patterns, bid-ask spr…Portfolio Rebalancing and the Turn-Of-The-Year Effect (1989)Portfolio Rebalancing and the…Misspecification of capital asset pricing (1981)Measuring abnormal performance (1992)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Stock prices and the Wall Street weather (1993)Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Adjustment of Stock Prices to New Information (1969)Principles of Corporate Finance. (1981)Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)The Adjustment of Stock Prices to New Information (2003)Comovement (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)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)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1983Biases in computed returns771 cited
  • 1987A monthly effect in stock returns720 cited

Cited by

  • 1992Earnings news and small traders480 cited
  • 1994Behavioral Capital Asset Pricing Theory465 cited
  • 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes446 cited

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2002
Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds
363 cited
  • 1994The Individual Investor and the Weekend Effect333 cited
  • 1992The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias328 cited
  • 1989Trading patterns, bid-ask spreads, and estimated security returns288 cited
  • 1997Institutions and Individuals at the Turn-of-the-Year276 cited
  • 1990Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects252 cited
  • 2014What's Not There: Odd Lots and Market Data231 cited
  • 2005Tax-Motivated Trading by Individual Investors226 cited
  • 1998Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets219 cited
  • 2020Technostress Dark Side of Technology in the Workplace: A Scientometric Analysis209 cited
  • 2001Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns206 cited
  • 1989Portfolio Rebalancing and the Turn-Of-The-Year Effect195 cited
  • 1999Investment Decisions Depend on Portfolio Disclosures181 cited