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Citations for "Anomalies and Market Efficiency"

by G. William Schwert

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  1. Galai, Dan & Kedar-Levy, Haim & Schreiber, Ben Z., 2008. "Seasonality in outliers of daily stock returns: A tail that wags the dog?," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(5), pages 784-792, December.
  2. Driesprong, Gerben & Jacobsen, Ben & Maat, Benjamin, 2008. "Striking oil: Another puzzle?," Journal of Financial Economics, Elsevier, Elsevier, vol. 89(2), pages 307-327, August.
  3. Baur, Dirk G., 2013. "The autumn effect of gold," Research in International Business and Finance, Elsevier, Elsevier, vol. 27(1), pages 1-11.
  4. Argiro Svingou, 2013. "Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 63(1-2), pages 100-120, June.
  5. Maher Kooli & Jean-François L'Her & Jean-Marc Suret, 2003. "Do IPOs Underperform in the Long-Run? New Evidence from the Canadian Stock Market," CIRANO Working Papers, CIRANO 2003s-16, CIRANO.
  6. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(3), pages 519-544, June.
  7. Israel, Ronen & Moskowitz, Tobias J., 2013. "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 275-301.
  8. Hui Guo, 2003. "Stock prices, firm size, and changes in the federal funds rate target," Working Papers, Federal Reserve Bank of St. Louis 2002-004, Federal Reserve Bank of St. Louis.
  9. Swati Ghosh & Ernesto Revilla, 2008. "Enhancing the efficiency of securities markets in East Asia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(2), pages 249-268.
  10. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers, Federal Reserve Bank of St. Louis 2006-046, Federal Reserve Bank of St. Louis.
  11. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  12. Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
  13. Cooper, Michael J. & McConnell, John J. & Ovtchinnikov, Alexei V., 2006. "The other January effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(2), pages 315-341, November.
  14. Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 50(2-3), pages 410-454, December.
  15. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers, Federal Reserve Bank of St. Louis 2004-029, Federal Reserve Bank of St. Louis.
  16. Park, Cheol-Ho & Irwin, Scott H., 2005. "The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test," AgMAS Project Research Reports, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics 14771, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  17. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers, Federal Reserve Bank of St. Louis 2005-075, Federal Reserve Bank of St. Louis.
  18. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(2), pages 387-415, November.
  19. Blitz, David & Huij, Joop & Martens, Martin, 2011. "Residual momentum," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 506-521, June.
  20. Kedar-Levy, Haim & Yu, Xiaoyan & Kamesaka, Akiko & Ben-Zion, Uri, 2010. "The impact of daily return limit and segmented clientele on stock returns in China," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(4), pages 223-236, September.
  21. Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.
  22. Borgers, Arian & Derwall, Jeroen & Koedijk, Kees & ter Horst, Jenke, 2013. "Stakeholder relations and stock returns: On errors in investors' expectations and learning," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 159-175.
  23. Philip Maymin, 2010. "Markets are efficient if and only if P = NP," Papers 1002.2284, arXiv.org, revised May 2010.
  24. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 269-280, February.
  25. Levy, Tamir & Yagil, Joseph, 2012. "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 1963-1974.
  26. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 211-232.
  27. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer, Springer, vol. 19(3), pages 239-260, October.
  28. Cornell, Brad, 2003. "Comovement as an Investment Tool," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3tn7511m, Anderson Graduate School of Management, UCLA.
  29. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(3), pages 448-468, December.
  30. Gomes, Armando & Gorton, Gary & Madureira, Leonardo, 2007. "SEC Regulation Fair Disclosure, information, and the cost of capital," Journal of Corporate Finance, Elsevier, Elsevier, vol. 13(2-3), pages 300-334, June.
  31. Bettman, Jenni L. & Maher, Thomas R.B. & Sault, Stephen J., 2009. "Momentum profits in the Australian equity market: A matched firm approach," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(5), pages 565-579, November.
  32. Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(2), pages 339-377, August.
  33. Y. Kahiri & A. Shmilovici & S. Hauser, 2006. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006, Society for Computational Economics 256, Society for Computational Economics.
  34. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1202-1212, May.
  35. Danny Yeung, 2012. "The Impact of Institutional Ownership: A Study of the Australian Equity Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 11.
  36. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(5), pages 965-974, May.
  37. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(12), pages 3263-3274.
  38. Y. Lemp\'eri\`ere & C. Deremble & P. Seager & M. Potters & J. P. Bouchaud, 2014. "Two centuries of trend following," Papers 1404.3274, arXiv.org.
  39. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 1943-1962.
  40. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper, Federal Reserve Bank of Atlanta 2005-02, Federal Reserve Bank of Atlanta.
  41. Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, Elsevier, vol. 227(1), pages 122-132.
  42. Alagidede, Paul, 2011. "Return behaviour in Africa's emerging equity markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 51(2), pages 133-140, May.
  43. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 78(3), pages 463-505, December.
  44. Bing Zhang & Xindan Li, 2006. "Do Calendar Effects Still Exist in the Chinese Stock Markets?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(2), pages 151-163.
  45. Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013. "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 323-348.
  46. Gutierrez, Roberto Jr. & Prinsky, Christo A., 2007. "Momentum, reversal, and the trading behaviors of institutions," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(1), pages 48-75, February.
  47. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(10), pages 2413-2424, October.
  48. Wisniewski, Tomasz Piotr & Yekini, Liafisu Sina, 2014. "Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly," MPRA Paper 58107, University Library of Munich, Germany.
  49. Hui Guo, 2005. "Time-varying risk premia and the cross section of stock returns," Working Papers, Federal Reserve Bank of St. Louis 2002-013, Federal Reserve Bank of St. Louis.
  50. Martin T. Bohl & Christian A. Salm, 2009. "The Other January Effect: International Evidence," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster 0809, Center for Quantitative Economics (CQE), University of Muenster.
  51. Ferdi Aarts & Thorsten Lehnert, 2005. "On style momentum strategies," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(13), pages 795-799.
  52. 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, Ghent University, Faculty of Economics and Business Administration 06/376, Ghent University, Faculty of Economics and Business Administration.
  53. CIOBANU Gheorghe & SECHEL Ioana Cristina, 2013. "Paradoxes Of Modern Stock Exchange Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 89-96, July.
  54. Huang, Alex YiHou, 2012. "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(6), pages 1839-1855.
  55. Doyle, John R. & Chen, Catherine Huirong, 2012. "A multidimensional classification of market anomalies: Evidence from 76 price indices," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(5), pages 1237-1257.
  56. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(1), pages 1-18.
  57. Stivers, Chris & Sun, Licheng & Sun, Yong, 2009. "The other January effect: International, style, and subperiod evidence," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(3), pages 521-546, August.
  58. Houda Ben Mhenni Haj Youssef & Lassad El Moubarki & Olfa Benouda Sioud, 2010. "Can diversification degree amplify momentum and contrarian anomalies?," Review of Accounting and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 9(1), pages 50-64, February.