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The Behavior of Stock Prices on Fridays and Mondays
0 references·16 citing·41 second hop
The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices on Fridays a…Estimating stock market volatility using asymmetric GARCH models (2008)Estimating stock market volat…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…The day of the week effect on stock market volatility (2001)The day of the week effect on…Dangers of data mining: The case of calendar effects in stock returns (2001)Dangers of data mining: The c…Murphy's Law and Market Anomalies (1999)Murphy's Law and Market Anoma…Predicting stock market volatility: A new measure (1995)Predicting stock market volat…The Reversal of Large Stock-Price Decreases (1991)The Reversal of Large Stock-P…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…The distribution of earnings news over time and seasonalities in aggregate stock returns (1987)The distribution of earnings …Day-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 Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…New 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…Weekend Effects on Stock Returns: A Note (1982)Weekend Effects on Stock Retu…The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement (1982)The Distribution of Foreign E…The Behavior of Stock-Market Prices (1965)Estimating betas from nonsynchronous data (1977)Stock returns and the weekend effect (1980)Short-Sale Restrictions and Market Reaction to Short-Interest Announcements (1993)The Individual Investor and the Weekend Effect (1994)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Parametric and Nonparametric Volatility Measurement (2010)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Statistical properties of the volatility of price fluctuations (1999)Size-related anomalies and stock return seasonality (1983)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)Day of the Week Effects and Asset Returns (1981)Econometric Models and Economic Forecasts (1990)Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The day of the week effect on stock market volatility and volume: International evidence (2003)The disappearing day-of-the-week effect in the world's largest equity markets (2004)Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Risk measurement when shares are subject to infrequent trading (1979)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance (2006)The Determinants of Stock and Bond Return Comovements (2010)Investor Attention and Stock Market Volatility (2014)An Examination of the Robustness of the Weekend Effect (1989)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)
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  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns826 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1982Weekend Effects on Stock Returns: A Note460 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 2001The day of the week effect on stock market volatility339 cited
  • 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement308 cited
  • 1987The distribution of earnings news over time and seasonalities in aggregate stock returns305 cited
  • 1991The Reversal of Large Stock-Price Decreases283 cited
  • 2001Dangers of data mining: The case of calendar effects in stock returns282 cited

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2008
Estimating stock market volatility using asymmetric GARCH models
274 cited
  • 1999Murphy's Law and Market Anomalies271 cited