The distribution of earnings news over time and seasonalities in aggregate stock returns

[1]  Laura T. Starks,et al.  Day-of-the-week and intraday effects in stock returns , 1986 .

[2]  L. Harris.  A transaction data study of weekly and intradaily patterns in stock returns , 1986 .

[3]  A. Kalay,et al.  Predictable events and excess returns: The case of dividend announcements , 1985 .

[4]  S. Penman.  Abnormal returns to investment strategies based on the timing of earnings reports , 1984 .

[5]  Richard J. Rogalski.  New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note , 1984 .

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

[7]  A. Abdelkhalik.  A Note on the Validity of the WSJ As a Source of "Event" Dates , 1984 .

[8]  Stephen H. Penman,et al.  Timeliness Of Reporting And The Stock-Price Reaction To Earnings Announcements , 1984 .

[9]  Douglas A. Schroeder,et al.  An Empirical-Investigation Of The Effect Of Quarterly Earnings Announcement Timing On Stock Returns , 1984 .

[10]  K. J. Cohen,et al.  Friction in the trading process and the estimation of systematic risk , 1983 .

[11]  R. Roll.  Vas Ist Das? , 1983 .

[12]  Edward C. Lawrence,et al.  Reporting Delays For Failed Firms , 1983 .

[13]  Maurice D. Levi,et al.  Weekend Effects on Stock Returns: A Note , 1982 .

[14]  K. French.  Stock returns and the weekend effect , 1980 .

[15]  H. Vinod.  Effects of ARMA Errors on the Significance Tests for Regression Coefficients , 1976 .

[16]  William R. Kinney,et al.  Capital market seasonality: The case of stock returns , 1976 .

[17]  Frank Cross,et al.  The Behavior of Stock Prices on Fridays and Mondays , 1973 .

[18]  W. Kruskal,et al.  Use of Ranks in One-Criterion Variance Analysis , 1952 .

[19]  Michael R. Gibbons,et al.  Day of the Week Effects and Asset Returns , 1981 .