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Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries
16 references·2 citing·27 second hop
Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries (2009)Calendar effects in stock markets : criti…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Dangers of data mining: The case of calendar effects in stock returns (2001)Dangers of data mining: The c…An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Day-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Stock market seasonality (1983)Stock market seasonalitySize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…New evidence on the nature of size-related anomalies in stock prices (1983)New evidence on the nature of…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and 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…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …Calendar anomalies: a survey of the literature (2015)Calendar anomalies: a survey …DAY OF THE WEEK EFFECT IN CENTRAL EUROPEAN STOCK MARKETS (2012)DAY OF THE WEEK EFFECT IN CEN…Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The World Price of Covariance Risk (1991)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)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)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Tomorrow on the New York Stock Exchange (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Using daily stock returns (1985)Introductory Econometrics for Finance (2008)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Investor Inattention and Friday Earnings Announcements (2009)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1980Stock returns and the weekend effect2,015 cited
  • 1983Size-related anomalies and stock return seasonality1,878 cited
  • 1976Capital market seasonality: The case of stock returns1,252 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns937 cited
  • 1983The anomalous stock market behavior of small firms in January862 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1983Stock market seasonality590 cited
  • 2002Anomalies and Market Efficiency561 cited
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices338 cited
  • 2002Anomalies and Market Efficiency335 cited
  • 2001Dangers of data mining: The case of calendar effects in stock returns

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301 cited

Cited by

  • 2012DAY OF THE WEEK EFFECT IN CENTRAL EUROPEAN STOCK MARKETS16 cited
  • 2015Calendar anomalies: a survey of the literature16 cited