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Seasonality in the Baltic Stock Markets
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Seasonality in the Baltic Stock Markets (2015)Seasonality in the Baltic Stock MarketsStock Market Anomalies: A Study of Seasonal Effects on Average Returns of Nairobi Securities Exchange (2013)Stock Market Anomalies: A Stu…CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS (2011)CALENDAR ANOMALIES IN EMERGIN…Testing the weak-form market efficiency and the day of the week effects of some African countries (2009)Testing the weak-form market …The monthly and trading month effects in Greek stock market returns: 1996‐2002 (2008)The monthly and trading month…Equity Returns at the Turn of the Month (2008)Equity Returns at the Turn of…Testing for the existence of the ‘January effect’ in transition economies (2006)Testing for the existence of …Day‐of‐the‐week and other market anomalies in the Indian stock market (2006)Day‐of‐the‐week and other mar…Stock Market Efficiency Withstands another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle (2004)Stock Market Efficiency Withs…The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)The Halloween Indicator, “Sel…Is There Seasonality in the Sensex Monthly Returns (2002)Is There Seasonality in the S…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…The January Effect: Still There after All These Years (1996)The January Effect: Still The…The Turn-of-the-Year in Canada (1984)The Turn-of-the-Year in CanadaSize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)'Sell in May and Go Away' Just Won't Go Away (2012)Does mood affect trading behavior? (2015)Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries (2018)Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Stock returns and the weekend effect (1980)Day of the Week Effects and Asset Returns (1981)Market Efficiency, Market Anomalies, Causes, Evidences, and Some Behavioral Aspects of Market Anomalies (2012)Calendar anomalies in Russian stocks and bonds (2013)Impact of market anomalies on stock exchange: a comparative study of KSE and PSX (2020)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Risk and return (1984)Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Predicting stock price movements from past returns: the role of consistency and tax-loss selling (2003)The anomalous stock market behavior of small firms in January (1983)Anomalies in US equity markets: a re-examination of the January effect (2002)Predictive Regressions with Time-Varying Coefficients (2009)Predictive regressions with time-varying coefficients (2012)Some anomalous evidence regarding market efficiency (1978)Efficient Capital Markets: II (1991)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)The Halloween effect: Trick or treat? (2010)Sell in May and Go Away: Still Good Advice for Investors? (2014)The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time (2020)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)Time-Varying World Market Integration (1995)Winter Blues: A SAD Stock Market Cycle (2003)Striking oil: Another puzzle? (2008)On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)The financial economics of gold — A survey (2015)The Efficient Market Hypothesis and Its Critics (2003)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)
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References

  • 1983Size-related anomalies and stock return seasonality1,878 cited
  • 1976Capital market seasonality: The case of stock returns1,252 cited
  • 2002Anomalies and Market Efficiency561 cited
  • 2002The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle419 cited
  • 1984The Turn-of-the-Year in Canada169 cited
  • 1996The January Effect: Still There after All These Years162 cited
  • 2008Equity Returns at the Turn of the Month138 cited
  • 2002Anomalies and Market Efficiency133 cited
  • 2006Day‐of‐the‐week and other market anomalies in the Indian stock market97 cited
  • 2004Stock Market Efficiency Withstands another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle60 cited
  • 2008The monthly and trading month effects in Greek stock market returns: 1996‐200255 cited
  • 2006Testing for the existence of the ‘January effect’ in transition economies41 cited
  • 2009Testing the weak-form market efficiency and the day of the week effects of some African countries25 cited
  • 2002Is There Seasonality in the Sensex Monthly Returns25 cited
  • 2013Stock Market Anomalies: A Study of Seasonal Effects on Average Returns of Nairobi Securities Exchange24 cited

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  • 2011CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS22 cited
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