Return Seasonalities: Return Seasonalities

[1]  Christopher Polk,et al.  An Investigation of the Impact of Industry Factors in Asset-Pricing Tests , 1996 .

[2]  John M. Griffin,et al.  Are the Fama and French Factors Global or Country-Specific? , 2002 .

[3]  E. Fama,et al.  The Cross‐Section of Expected Stock Returns , 1992 .

[4]  E. Fama,et al.  Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.

[5]  James L. Davis,et al.  Characteristics, Covariances, and Average Returns: 1929-1997 , 1999 .

[6]  Donggyu Sul,et al.  Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment , 2009 .

[7]  Volatility, Correlation, and Diversification in aMulti-Factor World , 2013, The Journal of Portfolio Management.

[8]  E. Fama,et al.  Industry costs of equity , 1997 .

[9]  Lisa A. Kramer,et al.  Winter Blues: A Sad Stock Market Cycle , 2003 .

[10]  J. Lewellen The Cross Section of Expected Stock Returns , 2014 .

[11]  Ronnie Sadka,et al.  Seasonality in the cross-section of stock returns , 2008 .

[12]  Recursive mean adjustment in time-series inferences , 1999 .

[13]  Andrea Frazzini,et al.  Trading Costs of Asset Pricing Anomalies , 2012 .

[14]  Su Han Chan,et al.  The Impact of Institutional Investors on the Monday Seasonal , 2004 .

[15]  Kewei Hou,et al.  What Factors Drive Global Stock Returns? , 2011 .

[16]  Gergana Jostova,et al.  Momentum and Credit Rating , 2006 .

[17]  Tarun Chordia,et al.  Momentum, Business Cycle and Time Varying Expected Returns , 2001 .

[18]  E. Fama,et al.  Size, Value, and Momentum in International Stock Returns , 2011 .

[19]  Robert Novy-Marx,et al.  A Taxonomy of Anomalies and Their Trading Costs , 2014 .

[20]  Ian Garrett,et al.  Winter Blues and Time Variation in the Price of Risk , 2003 .

[21]  Stephen Nickell,et al.  Biases in Dynamic Models with Fixed Effects , 1981 .

[22]  J. Lewellen,et al.  Momentum and Autocorrelation in Stock Returns , 2002 .

[23]  E. Fama,et al.  Common risk factors in the returns on stocks and bonds , 1993 .

[24]  Robert Novy-Marx,et al.  The other side of value: The gross profitability premium. , 2013 .

[25]  L. Pedersen,et al.  Ralph S. J. Koijen , 2019, The Journal of Finance.

[26]  Jianfeng Yu,et al.  The short of it , 2012 .

[27]  S. Heston,et al.  Seasonality in the Cross Section of Stock Returns: The International Evidence , 2010, Journal of Financial and Quantitative Analysis.

[28]  Stefan Nagel,et al.  A Skeptical Appraisal of Asset-Pricing Tests , 2006 .

[29]  Lu Zhang,et al.  Momentum Profits, Factor Pricing, and Macroeconomic Risk , 2006 .

[30]  Christopher Polk,et al.  Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year , 2011 .

[31]  Lisa A. Kramer,et al.  Seasonal Variation in Treasury Returns , 2014 .

[32]  Narasimhan Jegadeesh,et al.  Evidence of Predictable Behavior of Security Returns , 1990 .

[33]  Christopher Polk,et al.  The Value Spread , 2001 .

[34]  Donald B. Keim,et al.  A Further Investigation of the Weekend Effect in Stock Returns , 1984 .

[35]  Tyler Shumway The Delisting Bias in CRSP Data , 1997 .

[36]  S. Ross,et al.  Economic Forces and the Stock Market , 1986 .

[37]  E. Fama,et al.  Average Returns, B/M, and Share Issues , 2007 .