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Seasonality in outliers of daily stock returns: A tail that wags the dog?
16 references·6 citing·32 second hop
Seasonality in outliers of daily stock returns: A tail that wags the dog? (2008)Seasonality in outliers of daily stock re…Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface* (2006)Predictable Dynamics in the S…Chapter 15 Anomalies and market efficiency (2003)Chapter 15 Anomalies and mark…The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)The Halloween Indicator, “Sel…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Security Market Imperfections in Worldwide Equity Markets (2001)Security Market Imperfections…The Dynamics of the S&P 500 Implied Volatility Surface (2000)The Dynamics of the S&P 500 I…The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements (1989)The Weekend Effect in Informa…An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…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 returnsAutoregressive 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…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The day-of-the-week-effect on the volatility of commodities (2021)The day-of-the-week-effect on…The “Sell in May” effect: A review and new empirical evidence (2017)The “Sell in May” effect: A r…Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect (2015)Black cats or black swans? Ou…Is the EUA a new asset class? (2012)Is the EUA a new asset class?Day-of-the-week effect on the VIX. A parsimonious representation (2012)Day-of-the-week effect on the…A brief history and recent developments in day‐of‐the‐week effect literature (2011)A brief history and recent de…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)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)The Econometrics of Event Studies (2004)Striking oil: Another puzzle? (2008)Aggregate Short Interest and Return Predictability (2014)Book Review: Time Series Analysis: Forecasting and Control (1977)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)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)Risk, Return, and Equilibrium: Empirical Tests (1973)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)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)The Efficient Market Hypothesis and Its Critics (2003)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1980Stock returns and the weekend effect2,015 cited
  • 1983Size-related anomalies and stock return seasonality1,878 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1983The anomalous stock market behavior of small firms in January862 cited
  • 1983Biases in computed returns773 cited
  • 2002Anomalies and Market Efficiency561 cited
  • 2003Chapter 15 Anomalies and market efficiency503 cited
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 2002The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle419 cited
  • 1989The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements284 cited
  • 2000The Dynamics of the S&P 500 Implied Volatility Surface137 cited
  • 2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface*118 cited
  • 2001

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Security Market Imperfections in Worldwide Equity Markets
115 cited

Cited by

  • 2021The day-of-the-week-effect on the volatility of commodities23 cited
  • 2012Is the EUA a new asset class?23 cited
  • 2012Day-of-the-week effect on the VIX. A parsimonious representation22 cited
  • 2011A brief history and recent developments in day‐of‐the‐week effect literature22 cited
  • 2015Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect18 cited
  • 2017The “Sell in May” effect: A review and new empirical evidence18 cited