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The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994
16 references·2 citing·37 second hop
The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994 (1999)The weekend effect, the Stock Exchange Ac…A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994 (1996)A note on the weak form effic…Calendar effects in the London Stock Exchange FT–SE indices (1995)Calendar effects in the Londo…Turn-of-month and pre-holiday effects on stock returns: Some international evidence (1992)Turn-of-month and pre-holiday…Stock market anomalies (1989)Stock market anomaliesAn Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index (1988)On Measuring Skewness and Elo…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …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…Stock returns and the weekend effect (1980)Stock returns and the weekend…Stock Returns and Dividend Yields: Some More Evidence (1980)Stock Returns and Dividend Yi…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Journal of business finance and accounting (1978)Journal of business finance a…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Another look at calendar anomalies (2019)Another look at calendar anom…The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study (2002)The Impact of Stock Index Fut…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)Risk, Return, and Equilibrium: Empirical Tests (1973)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Size-related anomalies and stock return seasonality (1983)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)International Evidence on the Robustness of the Day-of-the-Week Effect (1993)Hourly volatility spillovers between international equity markets (1994)The Individual Investor and the Weekend Effect (1994)Day of the Week Effects and Asset Returns (1981)High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)Exploring the linkage between investment in manufacturing and environmental technologies (2000)Accountingization v. legitimation: a comparative study of the use of accounting information in intensive care (2003)Investigating the Risk–Return Relationship of Information Technology Investment: Firm-Level Empirical Analysis (2007)Day-of-the-week and intraday effects in stock returns (1986)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1978Journal of business finance and accounting580 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
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 1992Turn-of-month and pre-holiday effects on stock returns: Some international evidence311 cited
  • 1996A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994296 cited
  • 1980Stock Returns and Dividend Yields: Some More Evidence215 cited
  • 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
  • 1989Stock market anomalies174 cited

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  • 1988On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index135 cited
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    • 2019Another look at calendar anomalies30 cited
    • 2002The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study30 cited