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A Tax-Free Exploitation of the Turn-of-the-Month Effect: C.R.E.F

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  • Compton, William S.
  • Kunkel, Robert A.
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    File URL: http://www.sciencedirect.com/science/article/B6W4D-46K97XS-9/2/3f94620110de7df9f8d3fc351c45795b
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    Bibliographic Info

    Article provided by Elsevier in its journal Financial Services Review.

    Volume (Year): 7 (1998)
    Issue (Month): 1 ()
    Pages: 11-23

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    Handle: RePEc:eee:finser:v:7:y:1998:i:1:p:11-23

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    Web page: http://www.rmi.gsu.edu/FSR/FSRhome.htm

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    1. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-35, July.
    2. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    3. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    4. Reinganum, Marc R., 1983. "The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects," Journal of Financial Economics, Elsevier, vol. 12(1), pages 89-104, June.
    5. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
    6. Edward H. Chow & Ping Hsiao & Michael E. Solt, 1997. "Trading Returns for the Weekend Effect Using Intraday Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(3), pages 425-444.
    7. Chan, K. C. & Chen, Nai-fu & Hsieh, David A., 1985. "An exploratory investigation of the firm size effect," Journal of Financial Economics, Elsevier, vol. 14(3), pages 451-471, September.
    8. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184.
    9. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
    10. Penman, Stephen H., 1987. "The distribution of earnings news over time and seasonalities in aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 18(2), pages 199-228, June.
    11. Ritter, Jay R, 1988. " The Buying and Selling Behavior of Individual Investors at the Turn of the Year," Journal of Finance, American Finance Association, vol. 43(3), pages 701-17, July.
    12. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    13. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    14. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, vol. 13(3), pages 435-455, September.
    15. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March.
    16. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    17. Kamara, Avraham, 1997. "New Evidence on the Monday Seasonal in Stock Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 63-84, January.
    18. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June.
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    Cited by:
    1. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.
    2. Miller, Edward M. & Prather, Larry J., 2000. "Exploitable patterns in retirement annuity returns: evidence from TIAA/CREF," Financial Services Review, Elsevier, vol. 9(3), pages 219-230, 00.
    3. William Compton & Robert Kunkel, 2000. "Tax-free trading on calendar stock and bond market patterns," Journal of Economics and Finance, Springer, vol. 24(1), pages 64-76, March.
    4. Sharma, Susan Sunila & Narayan, Paresh Kumar, 2014. "New evidence on turn-of-the-month effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 92-108.

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