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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 Oxford University Press for 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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  1. 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. [Downloadable!]
  2. Jose Garcia Blandon, 2007. "Return autocorrelation anomalies in two European stock markets," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 22(1), pages 59-70, June. [Downloadable!]
  3. Ilias Tsiakas, 2004. "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings 208, Econometric Society. [Downloadable!]
  4. Andrew C Pollock, Alex Macaulay, Mary E Thomson, Dilek Önkal, 2008. "Using Weekly Empirical Probabilities in Currency Analysis and Forecasting," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 5(2), pages 26-55, October. [Downloadable!]
  5. 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!]
  6. Edgardo E. Zablotsky, 2002. "Consideraciones sobre la Eficiencia del mercado de capitales argentino," CEMA Working Papers: Serie Documentos de Trabajo. 213, Universidad del CEMA. [Downloadable!]
  7. Paweł Strawiński & Robert Ślepaczuk, 2008. "Analysis of HF data on the WSE in the context of EMH," Working Papers 2008-08, Faculty of Economic Sciences, University of Warsaw. [Downloadable!]
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  8. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1989. "Data-snooping biases in tests of financial asset pricing models," Working papers 3020-89., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  9. 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. [Downloadable!] (restricted)
  10. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper 2005-02, Federal Reserve Bank of Atlanta. [Downloadable!]
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  11. 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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