Are preholiday returns in Tokyo really anomalous? If so, why?
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- Bessembinder, Hendrik & Hertzel, Michael G, 1993. "Return Autocorrelations around Nontrading Days," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 155-89.
- Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
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- Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 145-157, March.
- Lo, Andrew W & MacKinlay, A Craig, 1990.
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- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
- 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.
- Kiyoshi Kato, 1990. "Weekly Patterns in Japanese Stock Returns," Management Science, INFORMS, vol. 36(9), pages 1031-1043, September.
- Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
- Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-89, December.
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