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Seasonal and Size Anomalies in the Japanese Stock Market
14 references·16 citing·37 second hop
Seasonal and Size Anomalies in the Japanese Stock Market (1985)Seasonal and Size Anomalies in the Japane…Differential information and the small firm effect (1984)Differential information and …Vas Ist Das? (1983)Vas Ist Das?Transaction costs and the small firm effect (1983)Transaction costs and the sma…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence (1983)Stock Return Seasonalities an…Stock market seasonality (1983)Stock market seasonalitySome Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns (1983)Optimal Stock Trading with Pe…New evidence on the nature of size-related anomalies in stock prices (1983)New evidence on the nature of…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data (2014)Calendar effects, market cond…Are Monthly Seasonals Real? A Three Century Perspective (2012)Are Monthly Seasonals Real? A…Gambling Preference and the New Year Effect of Assets with Lottery Features (2011)Gambling Preference and the N…Terrorism activity, investor sentiment, and stock returns (2010)Terrorism activity, investor …What Factors Drive Global Stock Returns? (2006)What Factors Drive Global Sto…Tax-loss trading and wash sales (2003)Tax-loss trading and wash sal…Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets (1998)Book-to-market, firm size, an…Seasonality and cultural influences on four Asian stock markets (1996)Seasonality and cultural infl…The structure of international stock returns and the integration of capital markets (1995)The structure of internationa…Calendar effects in the London Stock Exchange FT–SE indices (1995)Calendar effects in the Londo…Myopic management behavior with efficient, but imperfect, financial markets (1993)Myopic management behavior wi…Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration (1992)Predictable Stock Returns in …Odd-Lot Transactions around the Turn of the Year and the January Effect (1992)Odd-Lot Transactions around t…Japanese security market regularities (1991)Japanese security market regu…Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets (1989)Seasonal and Day‐of‐the‐Week …An Empirical Investigation of International Asset Pricing (1989)An Empirical Investigation of…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)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)An Examination of the Robustness of the Weekend Effect (1989)Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Measuring security price performance (1980)Information and the Cost of Capital (2002)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Does Integrated Reporting Matter to the Capital Market? (2017)Risk measurement when shares are subject to infrequent trading (1979)Fundamental Indexation (2005)Capital Market Equilibrium with Restricted Borrowing (1972)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Measuring abnormal performance (1992)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Stock prices and the Wall Street weather (1993)Anomalies: The January Effect (1987)High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)Periodic market closure and trading volume (1992)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)
this work references cited by second hop

References

  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1983Stock market seasonality573 cited
  • 1984Differential information and the small firm effect527 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1983Vas Ist Das?429 cited
  • 1983Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns409 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices337 cited
  • 1983Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence319 cited

Cited by

  • 1989Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets

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231 cited
  • 1998Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets219 cited
  • 1989An Empirical Investigation of International Asset Pricing212 cited
  • 2010Terrorism activity, investor sentiment, and stock returns211 cited
  • 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
  • 2014Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data154 cited
  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration149 cited
  • 1993Myopic management behavior with efficient, but imperfect, financial markets148 cited
  • 2011Gambling Preference and the New Year Effect of Assets with Lottery Features142 cited
  • 1995The structure of international stock returns and the integration of capital markets135 cited
  • 2006What Factors Drive Global Stock Returns?120 cited
  • 1991Japanese security market regularities113 cited
  • 2012Are Monthly Seasonals Real? A Three Century Perspective112 cited
  • 1996Seasonality and cultural influences on four Asian stock markets100 cited
  • 2003Tax-loss trading and wash sales99 cited
  • 1992Odd-Lot Transactions around the Turn of the Year and the January Effect89 cited