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Seasonal and Size Anomalies in the Japanese Stock Market

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Author Info
Kato, Kiyoshi
Schallheim, James S.
Abstract

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Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 20 (1985)
Issue (Month): 02 (June)
Pages: 243-260
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:20:y:1985:i:02:p:243-260_01

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  1. Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers 2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  2. Brian M. Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor and Francis Journals, vol. 14(3), pages 203-208, February. [Downloadable!] (restricted)
  3. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January. [Downloadable!] (restricted)
  4. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 138, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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  5. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006. [Downloadable!]
  6. Sumner J. La Croix & Akihiko Kawaura, 1992. "Japan's Shift From Process to Product Patents in the Pharmaceutical Industry: An Event Study of the Impact on Japanese Firms," Working Papers 199201, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
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  7. Mark Grinblatt & Matti Keloharju, 2002. "Tax-Loss Trading and Wash Sales," NBER Working Papers 8745, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  9. Doran, James & Jiang, Danling & Peterson, David, 2008. "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper 9258, University Library of Munich, Germany, revised 10 Mar 2009. [Downloadable!]
  10. Michael E. Drew & Madhu Veeraraghavan, 2001. "On the Value Premium in Malaysia," School of Economics and Finance Discussion Papers and Working Papers Series 092, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  11. Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany. [Downloadable!]
  12. Konstantinos Drakos, 2009. "Big Questions, Little Answers: Terrorism Activity, Investor Sentiment and Stock Returns," Economics of Security Working Paper Series 8, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  13. Oded Galor & Omer Moav & Dietrich Vollrath, 2004. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," Working Papers 2003-04, Brown University, Department of Economics. [Downloadable!]
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  14. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics. [Downloadable!]
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  15. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March. [Downloadable!]
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  16. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 275-307, November. [Downloadable!] (restricted)
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This page was last updated on 2009-11-23.


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