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Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations
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Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations (2019)Unique Calendar Effects in the Indian Sto…Size, value, and momentum in emerging market stock returns (2013)Size, value, and momentum in …Fast profits: Investor sentiment and stock returns during Ramadan (2011)Fast profits: Investor sentim…Introductory Econometrics for Finance (2008)Introductory Econometrics for…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Institutions and Individuals at the Turn-of-the-Year (1997)Institutions and Individuals …The day-of-the-week effect: The international evidence (1996)The day-of-the-week effect: T…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Earnings Yields, Market Values, and Stock Returns (1989)Earnings Yields, Market Value…Seasonal and Size Anomalies in the Japanese Stock Market (1985)Seasonal and Size Anomalies i…New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)New Findings Regarding Day-of…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Biases in computed returns (1983)Biases in computed returnsCAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR (1977)CAPITAL GAINS TAXATION AND YE…The Analysis of Economic Time-Series-Part I: Prices (1953)The Analysis of Economic Time…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 Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)Contrarian Investment, Extrapolation, and Risk (1994)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected 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)Stock returns and the weekend effect (1980)Day of the Week Effects and Asset Returns (1981)A transaction data study of weekly and intradaily patterns in stock returns (1986)A monthly effect in stock returns (1987)The Dependence between Hourly Prices and Trading Volume (1988)Multivariate GARCH models: a survey (2006)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Econophysics review: I. Empirical facts (2011)Rational Expectations and the Theory of Price Movements (1961)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2008Introductory Econometrics for Finance3,781 cited
  • 1983Size-related anomalies and stock return seasonality1,878 cited
  • 2005Analysis of Financial Time Series1,366 cited
  • 1983The anomalous stock market behavior of small firms in January862 cited
  • 1953The Analysis of Economic Time-Series-Part I: Prices834 cited
  • 1983Biases in computed returns773 cited
  • 1989Earnings Yields, Market Values, and Stock Returns497 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 2013Size, value, and momentum in emerging market stock returns308 cited
  • 2011Fast profits: Investor sentiment and stock returns during Ramadan289 cited
  • 1997Institutions and Individuals at the Turn-of-the-Year276 cited
  • 1977CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR262 cited
  • 1996The day-of-the-week effect: The international evidence257 cited
  • 1985

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Seasonal and Size Anomalies in the Japanese Stock Market
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