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Citations for "Capital market seasonality: The case of stock returns"

by Rozeff, Michael S. & Kinney, William Jr.

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  1. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2015. "Intraday return and volatility spillover mechanism from Chinese to Japanese stock market," Journal of the Japanese and International Economies, Elsevier, vol. 35(C), pages 23-42.
  2. Compton, William S. & Kunkel, Robert A., 1998. "A Tax-Free Exploitation of the Turn-of-the-Month Effect: C.R.E.F," Financial Services Review, Elsevier, vol. 7(1), pages 11-23.
  3. Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  4. Qadan, Mahmoud & Kliger, Doron, 2016. "The short trading day anomaly," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 62-80.
  5. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
  6. Wessel Marquering & Johan Nisser & Toni Valla, 2006. "Disappearing anomalies: a dynamic analysis of the persistence of anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 291-302.
  7. Ercan Balaban, 1995. "January Effect, Yes. What About Mark Twain Effect?," Discussion Papers 9509, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  8. Edgardo E. Zablotsky, 2001. "Eficiencia del mercado de Capitales. Una ilustración," CEMA Working Papers: Serie Documentos de Trabajo. 194, Universidad del CEMA.
  9. Osabuohien-Irabor Osarumwense, 2015. "Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?," European Financial and Accounting Journal, University of Economics, Prague, vol. 2015(4), pages 33-44.
  10. Pantzalis, Christos & Stangeland, David A. & Turtle, Harry J., 2000. "Political elections and the resolution of uncertainty: The international evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1575-1604, October.
  11. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006.
  12. Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016. "Another January effect—Evidence from stock split announcements," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 123-138.
  13. William Compton & Robert Kunkel, 2000. "Tax-free trading on calendar stock and bond market patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(1), pages 64-76, March.
  14. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
  15. James Philpot & Craig A. Peterson, 2011. "A brief history and recent developments in day-of-the-week effect literature," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 808-816, September.
  16. James M. Poterba & Scott J. Weisbenner, 1998. "Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns," NBER Working Papers 6616, National Bureau of Economic Research, Inc.
  17. Priit Sander & Risto Veiderpass, 2012. "Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 145-154, December.
  18. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
  19. 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.
  20. Victor Chow, K. & Denning, Karen C. & Ferris, Stephen & Noronha, Gregory, 1995. "Long-term and short-term price memory in the stock market," Economics Letters, Elsevier, vol. 49(3), pages 287-293, September.
  21. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
  22. Zvika Afik & Yaron Lahav & Efi Sayar & Rami Yosef, 2016. "You Can Do Better than ¡°Sell in May¡±It Is not Halloween, but It May Be Passover and Hanukah," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(10), pages 121-129, October.
  23. Kaustia, Markku & Rantapuska, Elias, 2016. "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 1-26.
  24. Naranjo, Andy & Protopapadakis, Aris, 1997. "Financial market integration tests: an investigation using US equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 93-135, July.
  25. Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra.
  26. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
  27. Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo Group Munich.
  28. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
  29. Savor, Pavel & Wilson, Mungo, 2014. "Asset pricing: A tale of two days," Journal of Financial Economics, Elsevier, vol. 113(2), pages 171-201.
  30. Kelly, Patrick J. & Meschke, Felix, 2010. "Sentiment and stock returns: The SAD anomaly revisited," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1308-1326, June.
  31. Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
  32. Brian Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 203-208.
  33. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
  34. Françoise Le Quéré, 2010. "L’habillage de portefeuille par les gérants de fonds dans la littérature : incitations, effets et risques," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 275-293.
  35. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3-4), pages 539-578.
  36. Magnus Dahlquist & Peter Sellin, 1996. "Stochastic dominance, tax-loss selling and seasonalities in Sweden," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 1-19.
  37. Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology.
  38. Michael E. Drew & Madhu Veeraraghavan, 2001. "On the Value Premium in Malaysia," School of Economics and Finance Discussion Papers and Working Papers Series 092, School of Economics and Finance, Queensland University of Technology.
  39. Shiu, Yih-Wen & Lee, Chun I. & Gleason, Kimberly C., 2014. "Institutional shareholdings and the January effects in Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 49-66.
  40. Krzysztof Borowski, 2016. "Analysis Of Monthly Rates Of Return In April On The Example Of Selected World Stock Exchange Indices," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(2), pages 307-325, June.
  41. Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.
  42. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245.
  43. Heston, Steven L. & Sadka, Ronnie, 2008. "Seasonality in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 87(2), pages 418-445, February.
  44. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
  45. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
  46. Porter, David C. & Powell, Gary E. & Weaver, Daniel G., 1996. "Portfolio rebalancing, institutional ownership, and the small firm-January effect," Review of Financial Economics, Elsevier, vol. 5(1), pages 19-29.
  47. Taufeeque Ahmad Siddiqui & Isha Narula, 2013. "Market Efficiency and Anomalies: Evidences from S&P CNX NIFTY," Vision: The Journal of Business Perspective, Management Development Institute, vol. 17(3), pages 233-245, September.
  48. 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.
  49. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2016. "Explaining turn of the year order flow imbalance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 76-95.
  50. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare
    [Some particularities of the financial variables evolution]
    ," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
  51. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.
  52. Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
  53. Nicolau, Juan L., 2005. "Valuing the business environment on a daily basis," European Journal of Operational Research, Elsevier, vol. 164(1), pages 217-224, July.
  54. Sikes, Stephanie A., 2014. "The turn-of-the-year effect and tax-loss-selling by institutional investors," Journal of Accounting and Economics, Elsevier, vol. 57(1), pages 22-42.
  55. Iryna O. Depenchuk & William S. Compton & Robert A. Kunkel, 2010. "Ukrainian financial markets: an examination of calendar anomalies," Managerial Finance, Emerald Group Publishing, vol. 36(6), pages 502-510, June.
  56. Fatemi, Ali M. & Park, Jinwoo, 1996. "Seasonal patterns in Japanese ADR returns and the US stock market influence," Japan and the World Economy, Elsevier, vol. 8(1), pages 65-79, March.
  57. Sulaiman Mouselli & Hazem Al-Samman, 2016. "An Examination of the Month-of-the-year Effect at Damascus Securities Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 573-577.
  58. Sasidharan, Anand, 2009. "Does seasonality persists in Indian stock markets?," MPRA Paper 24185, University Library of Munich, Germany, revised Aug 2010.
  59. 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;Western Finance Association, vol. 12(1), pages 21-38, August.
  60. Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, vol. 227(1), pages 122-132.
  61. Yuan, Kathy & Zheng, Lu & Zhu, Qiaoqiao, 2006. "Are investors moonstruck? Lunar phases and stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 1-23, January.
  62. Robert J. Sweeney & Robert F. Scherer & Janet Goulet & Waldemar M. Goulet, 1996. "Investment Behavior and the Small Firm Effect," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(3), pages 251-69, Fall.
  63. Julia Chou & Praveen Kumar Das & S.P. Uma Rao, 2011. "The value premium and the January effect," Managerial Finance, Emerald Group Publishing, vol. 37(6), pages 517-536, June.
  64. Al-Khazali, Osamah M. & Koumanakos, Evangelos P. & Pyun, Chong Soo, 2008. "Calendar anomaly in the Greek stock market: Stochastic dominance analysis," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 461-474, June.
  65. Salman Syed Ali & Khalid Mustafa, 2001. "Testing Semi-strong Form Efficiency of Stock Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 40(4), pages 651-674.
  66. Michael E. Drew & Mirela Mallin & Tony Naughton & Madhu Veeraraghavan, 2004. "Equity Premium: - Does it exist? Evidence from Germany and United Kingdom," School of Economics and Finance Discussion Papers and Working Papers Series 170, School of Economics and Finance, Queensland University of Technology.
  67. He, Ling T., 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, Elsevier, vol. 15(4), pages 331-349.
  68. Rakesh Bali, 2003. "Seasonality in ex dividend day returns," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 929-932.
  69. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
  70. Bogdan Dima & Laura Raisa Milos, 2009. "Testing The Efficiency Market Hypothesis For The Romanian Stock Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 41.
  71. Dirk Brounen & Yair Ben-Hamo, 2009. "Calendar Anomalies: The Case of International Property Shares," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 115-136, February.
  72. Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.
  73. 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, vol. 22(5), pages 1237-1257.
  74. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  75. Johnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics 43096, London School of Economics and Political Science, LSE Library.
  76. Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28.
  77. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
  78. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
  79. Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, vol. 86(C), pages 16-32.
  80. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
  81. Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006. "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 11(2), pages 123-139, Jul-Dec.
  82. Khalid Al-Saad & Imad Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 63-71.
  83. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
  84. Paul Brockman & David Michayluk, 1998. "Individual versus institutional investors and the weekend effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 71-85, March.
  85. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, vol. 13(1), pages 65-89, March.
  86. Christos I. Giannikos & Xiuqing Ji, 2007. "Industry Momentum at the End of the 20th Century," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(1), pages 29-46, April.
  87. Robert Ślepaczuk, 2004. "Efficiency of the Market of Derivative Instruments Listed on the Warsaw Stock Exchange," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 12.
  88. B Harrison & D Paton, 2007. "Do fat tails matter in GARCH estimation: testing market efficiency in two transition economies," Economic Issues Journal Articles, Economic Issues, vol. 12(2), pages 15-26, September.
  89. Miriam Ratkovicova, . "Driving Factors of Efficiency of CEE Capital Markets," CASE-CEU Working Papers 0035, CASE-Center for Social and Economic Research.
  90. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
  91. Khan, Muhammad Irfan, 2009. "Price Earning Ratio and Market to Book Ratio," MPRA Paper 23969, University Library of Munich, Germany.
  92. Al-Khazali, Osamah M., 2001. "Does the January effect exist in high-yield bond market?," Review of Financial Economics, Elsevier, vol. 10(1), pages 71-80.
  93. Moller, Nicholas & Zilca, Shlomo, 2008. "The evolution of the January effect," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 447-457, March.
  94. Muhammad Akbar & Humayun Habib Baig, 2010. "Reaction of Stock Prices to Dividend Announcements and Market Efficiency in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 15(1), pages 103-125, Jan-Jun.
  95. Lamb, Reinhold P. & Ma, K. C. & Daniel Pace, R. & Kennedy, William F., 1997. "The congressional calendar and stock market performance," Financial Services Review, Elsevier, vol. 6(1), pages 19-25.
  96. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 275-307, November.
  97. Alvarez-Ramirez, J. & Rodriguez, E. & Espinosa-Paredes, G., 2012. "A partisan effect in the efficiency of the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4923-4932.
  98. Françoise LE QUERE, 2008. "L'habillage de portefeuille par les gérants de fonds dans la littérature : incitations, effets et risques," LEO Working Papers / DR LEO 870, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  99. Mine AKSOY & Veysel ULUSOY, 2015. "Analysis Of Relative Return Behaviour Of Borsa Istanbul Reit And Borsa Istanbul 100 Index," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 107-128, March.
  100. Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr, 2012. "Fast profits: Investor sentiment and stock returns during Ramadan," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 835-845.
  101. JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers dp671, Financial Markets Group.
  102. Camilleri, Silvio John, 2008. "Month-Related Seasonality of Stock Price Volatility: Evidence from the Malta Stock Exchange," MPRA Paper 62493, University Library of Munich, Germany.
  103. Dumitriu, Ramona & Nistor, Costel & Stefanescu, Razvan, 2009. "Changes in the monthly effects from the Romanian foreign exchange market," MPRA Paper 41743, University Library of Munich, Germany, revised 08 May 2010.
  104. 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, number 11.
  105. 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.
  106. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.
  107. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.
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