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Capital Market Seasonality: The Case of Bond Returns

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References

1975Applied Linear Statistical Models.2,304 cited
1976Capital market seasonality: The case of stock returns1,252 cited
1963SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES387 cited
1971Predictability of Stock Market Prices.247 cited
1977A Tax Loss Trading Rule239 cited
2017Bond Price Volatility and Term to Maturity: A Generalized Respecification126 cited
1975Seasonality in Australian capital markets123 cited
1970Interest Rates and Monetary Policy73 cited

Cited by

1986Predicting returns in the stock and bond markets1,715 cited
2023The Economic Value of Blockchain Applications: Early Evidence from Asset-Backed Securities45 cited
2015Seasonal Variation in Treasury Returns44 cited
2006Opposing Seasonalities in Treasury Versus Equity Returns26 cited
1990Is There a January Effect in Corporate Bond and Paper Returns?24 cited
1996An examination of the day‐of‐the‐week effect in junk bond returns over business cycles23 cited
2001Does the January effect exist in high‐yield bond market?21 cited
2016

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Seasonality in Government Bond Returns and Factor Premia

19 cited

1989A note on January returns in the U.S. government bond market: The term effect18 cited

2023Interest rate changes and the cross-section of global equity returns16 cited