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The day-of-the-week effect is weak: Evidence from the European real estate sector
16 references·0 citing·37 second hopsampled
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 2002Anomalies and Market Efficiency547 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries

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543 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
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