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Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach
16 references·16 citing·31 second hopsampled
Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach (1993)Can Omitted Risk Factors Explain the Janu…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)The Buying and Selling Behavi…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A monthly effect in stock returns (1987)A monthly effect in stock ret…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…An exploratory investigation of the firm size effect (1985)An exploratory investigation …Vas Ist Das? (1983)Vas Ist Das?Transaction costs and the small firm effect (1983)Transaction costs and the sma…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…Misspecification of capital asset pricing (1981)Misspecification of capital a…Stock returns and the weekend effect (1980)Stock returns and the weekend…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices (2020)Gold and portfolio diversific…Persistence of calendar anomalies: insights and perspectives from literature (2018)Persistence of calendar anoma…Bubble detection and sector trading in real time (2018)Bubble detection and sector t…Revisiting fast profit investor sentiment and stock returns during Ramadan (2014)Revisiting fast profit invest…Stochastic dominance analysis of CTA funds (2012)Stochastic dominance analysis…Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market (2012)Are technical trading strateg…The impact of thin trading on day‐of‐the‐week effect (2008)The impact of thin trading on…Yes, Wall Street, There Is A January Effect! Evidence from Laboratory Auctions (2007)Yes, Wall Street, There Is A …Day-of-the-week effect in the Taiwan foreign exchange market (2007)Day-of-the-week effect in the…Calendar anomaly in the Greek stock market: Stochastic dominance analysis (2007)Calendar anomaly in the Greek…Do Winners Perform Better Than Losers? A Stochastic Dominance Approach (2006)Do Winners Perform Better Tha…Monthly and semi-annual seasonality in the Irish equity market 1934–2000 (2004)Monthly and semi-annual seaso…On the Existence of Visual Technical Patterns in the UK Stock Market (2003)On the Existence of Visual Te…Month of the year effect and January effect in pre‐WWI stock returns: evidence from a non‐linear GARCH model (2001)Month of the year effect and …Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach (1997)Does Post-Earnings-Announceme…A SIMULTANEOUS TEST OF COMPETING THEORIES REGARDING THE JANUARY EFFECT (1997)A SIMULTANEOUS TEST OF COMPET…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)Illiquidity and stock returns: cross-section and time-series effects (2002)Statistical principles in experimental design. (1962)Book Review: Time Series Analysis: Forecasting and Control (1977)Predicting returns in the stock and bond markets (1986)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)Using daily stock returns (1985)Introductory Econometrics for Finance (2008)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Efficient Market Hypothesis and Its Critics (2003)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Investor Sentiment and the Cross‐Section of Stock Returns (2006)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1981The relationship between return and market value of common stocks5,999 cited
  • 1980Stock returns and the weekend effect2,015 cited
  • 1983Size-related anomalies and stock return seasonality1,878 cited
  • 1981Misspecification of capital asset pricing1,327 cited
  • 1976Capital market seasonality: The case of stock returns1,252 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1983The anomalous stock market behavior of small firms in January862 cited
  • 1983Biases in computed returns773 cited
  • 1987A monthly effect in stock returns739 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1988The Buying and Selling Behavior of Individual Investors at the Turn of the Year482 cited
  • 1983Transaction costs and the small firm effect438 cited
  • 1983Vas Ist Das?

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Cited by

  • 2014Revisiting fast profit investor sentiment and stock returns during Ramadan83 cited
  • 2001Month of the year effect and January effect in pre‐WWI stock returns: evidence from a non‐linear GARCH model72 cited
  • 1997A SIMULTANEOUS TEST OF COMPETING THEORIES REGARDING THE JANUARY EFFECT58 cited
  • 2020Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices54 cited
  • 2007Day-of-the-week effect in the Taiwan foreign exchange market49 cited
  • 2007Calendar anomaly in the Greek stock market: Stochastic dominance analysis45 cited
  • 2003On the Existence of Visual Technical Patterns in the UK Stock Market40 cited
  • 1997Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach35 cited
  • 2007Yes, Wall Street, There Is A January Effect! Evidence from Laboratory Auctions34 cited
  • 2006Do Winners Perform Better Than Losers? A Stochastic Dominance Approach32 cited
  • 2012Stochastic dominance analysis of CTA funds29 cited
  • 2008The impact of thin trading on day‐of‐the‐week effect27 cited
  • 2012Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market27 cited
  • 2018Bubble detection and sector trading in real time27 cited
  • 2004Monthly and semi-annual seasonality in the Irish equity market 1934–200026 cited
  • 2018Persistence of calendar anomalies: insights and perspectives from literature24 cited