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Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index Futures
16 references·1 citing·35 second hop
Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index Futures (1992)Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the…A monthly effect in stock returns (1987)A monthly effect in stock ret…The January Size Effect: Anomaly or Risk Mismeasurement? (1986)The January Size Effect: Anom…Stock return variances (1986)Stock return variancesDay-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The Weekly Pattern in Stock Returns: Cash versus Futures: A Note (1985)The Weekly Pattern in Stock R…Differential Information and Performance Measurement Using a Security Market Line (1985)Differential Information and …The Turn-of-the-Year in Canada (1984)The Turn-of-the-Year in CanadaNew Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)New Findings Regarding Day-of…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Vas Ist Das? (1983)Vas Ist Das?Are some insiders more “inside” than others? (1983)Are some insiders more “insid…The relation between forward prices and futures prices (1981)The relation between forward …Stock returns and the weekend effect (1980)Stock returns and the weekend…The pricing of commodity contracts (1976)The pricing of commodity cont…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …On the exploitability of the turn-of-the-month effect–an international perspective (2010)On the exploitability of the …The Behavior of Stock-Market Prices (1965)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Capital market seasonality: The case of stock returns (1976)Size-related anomalies and stock return seasonality (1983)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Evaluating Natural Resource Investments (1985)Theory of Financial Decision Making. (1988)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market Liquidity and Trading Activity (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Using daily stock returns (1985)Tomorrow on the New York Stock Exchange (1965)Day of the Week Effects and Asset Returns (1981)The Dependence between Hourly Prices and Trading Volume (1988)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Introductory Econometrics for Finance (2008)Investor Inattention and Friday Earnings Announcements (2009)
this work references cited by second hop

References

  • 1976The pricing of commodity contracts2,859 cited
  • 1980Stock returns and the weekend effect2,015 cited
  • 1986Stock return variances1,841 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns937 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1987A monthly effect in stock returns739 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1983Vas Ist Das?429 cited
  • 1985Differential Information and Performance Measurement Using a Security Market Line353 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 1984The Turn-of-the-Year in Canada169 cited
  • 1986The January Size Effect: Anomaly or Risk Mismeasurement?127 cited
  • 1985The Weekly Pattern in Stock Returns: Cash versus Futures: A Note95 cited
  • 1983Are some insiders more “inside” than others?

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  • 2010On the exploitability of the turn-of-the-month effect–an international perspective17 cited