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Are Seasonal Anomalies Real? A Ninety-Year Perspective

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  • Josef Lakonishok, Seymour Smidt
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    Article provided by Society for Financial Studies in its journal Review of Financial Studies.

    Volume (Year): 1 (1988)
    Issue (Month): 4 ()
    Pages: 403-425

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    Handle: RePEc:oup:rfinst:v:1:y:1988:i:4:p:403-425

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    Cited by:
    1. 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.
    2. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-67.
    3. Edgardo E. Zablotsky, 2002. "Consideraciones sobre la Eficiencia del mercado de capitales argentino," CEMA Working Papers: Serie Documentos de Trabajo. 213, Universidad del CEMA.
    4. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
    5. 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.
    6. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
    7. Werner F. M. De Bondt & Richard H. Thaler, 1994. "Financial Decision-Making in Markets and Firms: A Behavioral Perspective," NBER Working Papers 4777, National Bureau of Economic Research, Inc.
    8. Ilias Tsiakas, 2004. "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings 208, Econometric Society.
    9. Jose Garcia Blandon, 2007. "Return autocorrelation anomalies in two European stock markets," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 22(1), pages 59-70, June.
    10. Jason D. Mitchell & Li L. Ong, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 06/04, International Monetary Fund.
    11. Shiok Ye Lim & Ricky Chee-Jiun Chia, 2010. "Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets," Economics Bulletin, AccessEcon, vol. 30(2), pages 996-1005.

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