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The January Effect

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  • Thaler, Richard H

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Bibliographic Info

Article provided by American Economic Association in its journal Journal of Economic Perspectives.

Volume (Year): 1 (1987)
Issue (Month): 1 (Summer)
Pages: 197-201

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Handle: RePEc:aea:jecper:v:1:y:1987:i:1:p:197-201

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Cited by:
  1. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2005. "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies 2006,01, Deutsche Bundesbank, Research Centre.
  2. Stephen F. LeRoy, 1990. "Capital market efficiency: an update," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-40.
  3. Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, EconWPA.
  4. Hartmann, Daniel & Pierdzioch, Christian, 2007. "Exchange rates, interventions, and the predictability of stock returns in Japan," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 155-172, April.
  5. A. Gregoriou & A. Kontonikas & N. Tsitsianis, 2004. "Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 215-220.
  6. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
  7. Barry Harrison & David Paton, 2004. "Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic," Working Papers 2004/3, Nottingham Trent University, Nottingham Business School, Economics Division.
  8. Ercan Balaban, 1995. "January Effect, Yes. What About Mark Twain Effect?," Discussion Papers 9509, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  9. Magnus Dahlquist & Peter Sellin, 1996. "Stochastic dominance, tax-loss selling and seasonalities in Sweden," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 1-19.
  10. B Harrison & D Paton, 2007. "Do fat tails matter in GARCH estimation: testing market efficiency in two transition economies," Economic Issues Journal Articles, Economic Issues, vol. 12(2), pages 15-26, September.
  11. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.

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