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A monthly effect in stock returns

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Author Info
Ariel, Robert A.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 18 (1987)
Issue (Month): 1 (March)
Pages: 161-174
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Handle: RePEc:eee:jfinec:v:18:y:1987:i:1:p:161-174

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Web page: http://www.elsevier.com/locate/inca/505576

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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. 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. [Downloadable!] (restricted)
  3. 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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  4. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," Working Paper 2000-11, Federal Reserve Bank of Atlanta. [Downloadable!]
  5. Husain, Fazal, 1998. "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," MPRA Paper 5032, University Library of Munich, Germany. [Downloadable!]
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  6. C. B. Cadsby & V. Torbey, 2003. "Time-of-month anomaly: reality or mirage?," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 741-745, October. [Downloadable!] (restricted)
  7. Li L. Ong & Jason D. Mitchell, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 06/04, International Monetary Fund. [Downloadable!]
  8. 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!]
  9. Ryan Sullivan & Allan Timmermann & Halbert White, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series 1998-16, Department of Economics, UC San Diego. [Downloadable!]
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  10. 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. [Downloadable!]
  11. Lonjid, Iveel, 2009. "Stochastic Dominance in Stock Market Special Days," MPRA Paper 17141, University Library of Munich, Germany, revised 07 Sep 2009. [Downloadable!]
  12. Strawinski, Pawel & Slepaczuk, Robert, 2008. "Analysis of HF data on the WSE in the context of EMH," MPRA Paper 9532, University Library of Munich, Germany. [Downloadable!]
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  13. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer, vol. 12(1), pages 21-38, August. [Downloadable!] (restricted)
  14. 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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