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Are there Monday effects in stock returns: A stochastic dominance approach
16 references·16 citing·42 second hopsampled
Are there Monday effects in stock returns: A stochastic dominance approach (2007)Are there Monday effects in stock returns…Stochastic Dominance: Investment Decision Making under Uncertainty (2010)Stochastic Dominance: Investm…Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality (2000)Statistical Inference for Sto…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIAre Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Judgement under Uncertainty: Heuristics and Biases (1985)Judgement under Uncertainty: …A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Judgement under Uncertainty: Heuristics and Biases (1983)Judgement under Uncertainty: …Conservatism in human information processing (1982)Conservatism in human informa…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…Judgment under Uncertainty: Heuristics and Biases (1975)Judgment under Uncertainty: H…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …A model of investor sentiment /A model of investor sentiment…Stock market reactions to COVID-19 lockdown: A global analysis (2021)Stock market reactions to COV…In search of COVID-19 and stock market behavior (2021)In search of COVID-19 and sto…Do climate risks matter for green investment? (2021)Do climate risks matter for g…Another look at calendar anomalies (2019)Another look at calendar anom…Seasonality in cryptocurrencies (2018)Seasonality in cryptocurrenci…Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices (2017)Stock market anomalies, marke…Revisiting fast profit investor sentiment and stock returns during Ramadan (2014)Revisiting fast profit invest…State‐owned Enterprises, Exporting and Productivity in C hina: A Stochastic Dominance Approach (2013)State‐owned Enterprises, Expo…Weekend gold returns in bull and bear markets (2012)Weekend gold returns in bull …The week-of-the-year effect: Evidence from around the globe (2012)The week-of-the-year effect: …The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE) (2010)The holiday and Yom Kippur Wa…The roles of financial asset market failure denial and the economic crisis: Reflections on accounting and financial theories and practices (2009)The roles of financial asset …The day-of-the-week effects on the volatility: The role of the asymmetry (2009)The day-of-the-week effects o…A method based on stochastic dominance degrees for stochastic multiple criteria decision making (2009)A method based on stochastic …Performance evaluation of portfolio insurance strategies using stochastic dominance criteria (2008)Performance evaluation of por…Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria (2007)Performance Evaluation of Por…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)On the psychology of prediction. (1973)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)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)The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)An Anatomy of Trading Strategies (1998)Inefficient Markets (2000)Short-sale constraints and stock returns (2002)Edgework: A Social Psychological Analysis of Voluntary Risk Taking (1990)The combination of evidence in the transferable belief model (1990)Choice Under Uncertainty: Problems Solved and Unsolved (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)Introduction: epistemic communities and international policy coordination (1992)The Influence of Culture, Community, and the Nested‐Self in the Stress Process: Advancing Conservation of Resources Theory (2001)
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References

  • 1975Judgment under Uncertainty: Heuristics and Biases22,647 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • n.d.A model of investor sentiment /4,073 cited
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  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1985Judgement under Uncertainty: Heuristics and Biases1,356 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1982Conservatism in human information processing1,004 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality

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870 cited
  • 2010Stochastic Dominance: Investment Decision Making under Uncertainty591 cited
  • Cited by

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    • 2021Do climate risks matter for green investment?74 cited
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    • 2009The roles of financial asset market failure denial and the economic crisis: Reflections on accounting and financial theories and practices71 cited
    • 2009A method based on stochastic dominance degrees for stochastic multiple criteria decision making71 cited
    • 2009The day-of-the-week effects on the volatility: The role of the asymmetry54 cited
    • 2010The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE)41 cited
    • 2013State‐owned Enterprises, Exporting and Productivity in C hina: A Stochastic Dominance Approach40 cited
    • 2007Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria35 cited
    • 2012The week-of-the-year effect: Evidence from around the globe31 cited
    • 2019Another look at calendar anomalies30 cited
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