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Why investors should not be cautious about the academic approach to testing for stock market anomalies
10 references·3 citing·48 second hop
Why investors should not be cautious about the academic approach to testing for stock market anomalies (2005)Why investors should not be cautious abou…Handbook of the Economics of Finance (2013)Handbook of the Economics of …Nonsecular Regularities in Returns and Volume (2004)Nonsecular Regularities in Re…Pre-holiday effect, large trades and small investor behaviour (2003)Pre-holiday effect, large tra…Good Day Sunshine: Stock Returns and the Weather (2003)Good Day Sunshine: Stock Retu…A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model (2002)A note on stock market season…A note on information seasonality and the disappearance of the weekend effect in the UK stock market (2001)A note on information seasona…The persistent holiday effect: additional evidence (1998)The persistent holiday effect…High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)High Stock Returns before Hol…An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…Some anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…The short trading day anomaly (2016)The short trading day anomalyOn the exploitability of the turn-of-the-month effect–an international perspective (2010)On the exploitability of the …Why investors should be cautious of the academic approach to testing for stock market anomalies (2002)Why investors should be cauti…Stock returns and the weekend effect (1980)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)A Survey of the Monday Effect Literature (2003)Global stock market reactions to scheduled U.S. macroeconomic news announcements (2006)The wandering weekday effect in major stock markets (2009)The Information Content of Annual Earnings Announcements (1968)Capital market seasonality: The case of stock returns (1976)Size-related anomalies and stock return seasonality (1983)Calendar anomaly in the Greek stock market: Stochastic dominance analysis (2007)The January effect across volatility regimes (2010)Daily seasonality in crude oil returns and volatilities (2014)New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)An empirical note on the holiday effect in the Australian stock market, 1996–2006 (2008)Online Portfolio Selection: A Survey (2012)Stock return variances (1986)Efficient Capital Markets: II (1991)The Efficient Market Hypothesis and Its Critics (2003)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Weather, Stock Returns, and the Impact of Localized Trading Behavior (2004)Are investors moonstruck? Lunar phases and stock returns (2006)Sports Sentiment and Stock Returns (2007)Fast profits: Investor sentiment and stock returns during Ramadan (2011)A Century of Stock Market Liquidity and Trading Costs (2026)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Measuring and Testing the Impact of News on Volatility (1993)Mood, misattribution, and judgments of well-being: Informative and directive functions of affective states. (1983)Risk as feelings. (2001)Twitter mood predicts the stock market (2011)Handbook of Social Cognition (2014)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Dividend Policy, Growth, and the Valuation of Shares (1961)The Structure of Scientific Revolutions (1963)The Structure of Scientific Revolutions. (1964)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Introductory Econometrics for Finance (2008)Stock market seasonality (1983)Price, trade size, and information in securities markets (1987)Chinese Lunar New Year effect in Asian stock markets, 1999–2012 (2014)Stock market liquidity and trading activity: Is China different? (2018)Emotions and stock market anomalies: A systematic review (2022)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)
this work references cited by second hop

References

  • 2013Handbook of the Economics of Finance1,932 cited
  • 2003Good Day Sunshine: Stock Returns and the Weather1,930 cited
  • 1978Some anomalous evidence regarding market efficiency1,555 cited
  • 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes446 cited
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 2001A note on information seasonality and the disappearance of the weekend effect in the UK stock market163 cited
  • 2004Nonsecular Regularities in Returns and Volume150 cited
  • 1998The persistent holiday effect: additional evidence76 cited
  • 2003Pre-holiday effect, large trades and small investor behaviour67 cited
  • 2002A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model50 cited

Cited by

  • 2002Why investors should be cautious of the academic approach to testing for stock market anomalies17 cited
  • 2010On the exploitability of the turn-of-the-month effect–an international perspective17 cited
  • 2016The short trading day anomaly15 cited

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