A multidimensional classification of market anomalies: evidence from 76 price indices
暂无分享,去创建一个
[1] H. E. Hurst,et al. Long-Term Storage Capacity of Reservoirs , 1951 .
[2] E. Fama. The Behavior of Stock-Market Prices , 1965 .
[3] K. Diem. Documenta Geigy Scientific Tables , 1970 .
[4] B. Mandelbrot. When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models , 1971 .
[5] Frank Cross,et al. The Behavior of Stock Prices on Fridays and Mondays , 1973 .
[6] William R. Kinney,et al. Capital market seasonality: The case of stock returns , 1976 .
[7] B. M. Brown,et al. Practical Non-Parametric Statistics. , 1981 .
[8] Michael R. Gibbons,et al. Day of the Week Effects and Asset Returns , 1981 .
[9] B. Tabachnick,et al. Using Multivariate Statistics , 1983 .
[10] W. Velicer,et al. Comparison of five rules for determining the number of components to retain. , 1986 .
[11] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[12] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[13] A. Lo,et al. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test , 1987 .
[14] Josef Lakonishok,et al. Are Seasonal Anomalies Real? A Ninety-Year Perspective , 1988 .
[15] A. Lo,et al. The Size and Power of the Variance Ratio Test in Finite Samples: a Monte Carlo Investigation , 1988 .
[16] E. Fama,et al. Permanent and Temporary Components of Stock Prices , 1988, Journal of Political Economy.
[17] A. Lo. Long-Term Memory in Stock Market Prices , 1989 .
[18] Robert F. Engle,et al. Stock Volatility and the Crash of '87: Discussion , 1990 .
[19] D. Andrews. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation , 1991 .
[20] P. Phillips,et al. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? , 1992 .
[21] K. V. Chow,et al. A simple multiple variance ratio test , 1993 .
[22] Anup Agrawal,et al. Anomalies or illusions? Evidence from stock markets in eighteen countries , 1994 .
[23] K. Denning,et al. Long-term and short-term price memory in the stock market , 1995 .
[24] A. Lo,et al. THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.
[25] Rob J Hyndman,et al. Sample Quantiles in Statistical Packages , 1996 .
[26] Walter Willinger,et al. Stock market prices and long-range dependence , 1999, Finance Stochastics.
[27] A. Lo,et al. A Non-Random Walk Down Wall Street , 1999 .
[28] Chris Brooks,et al. Benchmarks and the accuracy of GARCH model estimation , 2001 .
[29] J. Steeley. A note on information seasonality and the disappearance of the weekend effect in the UK stock market , 2001 .
[30] D. Hirshleifer,et al. Good Day Sunshine: Stock Returns and the Weather , 2001 .
[31] R. Leipus,et al. Rescaled variance and related tests for long memory in volatility and levels , 2003 .
[32] G. William Schwert,et al. Chapter 15 Anomalies and market efficiency , 2003 .
[33] Ben Jacobsen,et al. Is it the Weather? , 2004 .
[34] A. Worthington,et al. Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviour , 2006 .
[35] C. Lance,et al. The Sources of Four Commonly Reported Cutoff Criteria , 2006 .
[36] Itzhak Venezia,et al. On the Behavioral Differences between Professional and Amateur Investors after the Weekend , 2006 .
[37] H. Lean,et al. Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks , 2007 .
[38] Alex Edmans,et al. Sports Sentiment and Stock Returns , 2006 .
[39] Turan G. Bali,et al. A conditional-SGT-VaR approach with alternative GARCH models , 2007, Ann. Oper. Res..
[40] Brad M. Barber,et al. Just How Much Do Individual Investors Lose By Trading? , 2007 .
[41] Marius Ooms,et al. Multimodality in GARCH regression models , 2008 .
[42] Robin K. Chou,et al. Weather and intraday patterns in stock returns and trading activity , 2008 .
[43] Turan G. Bali,et al. Nonlinear Mean-Reversion in Stock Prices , 2008 .
[44] H. Levy,et al. Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market , 2008 .
[45] Tim Bollerslev,et al. Glossary to ARCH (GARCH) , 2008 .
[46] Lisa A. Kramer,et al. Is it the weather? Comment , 2009 .
[47] W. Marquering,et al. Is it the Weather? Response , 2009 .
[48] Shane A. Johnson,et al. Information, Sophistication, and Foreign Versus Domestic Investors' Performance , 2007 .
[49] J. Doyle,et al. The wandering weekday effect in major stock markets. , 2009 .