References

• 1976Capital market seasonality: The case of stock returns1,229 cited
• 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
• 1987A monthly effect in stock returns720 cited
• 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
• 1996Periodic Autoregressive Conditional Heteroscedasticity376 cited
• 1992Turn-of-month and pre-holiday effects on stock returns: Some international evidence311 cited
• 1989Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets231 cited
• 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
• 2006Disappearing anomalies: a dynamic analysis of the persistence of anomalies175 cited
• 2008Equity Returns at the Turn of the Month138 cited
• 2003The turn-of-the-month effect still lives: the international evidence132 cited
• 1997Security price anomalies in the London International Stock Exchange: a 60 year perspective126 cited
• 1991Japanese security market regularities113 cited
• 1989Is there a monthly effect in stock market returns?96 cited
• 2004The Asian crisis and calendar effects on stock returns in Thailand80 cited