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C. Barry, Stephen Brown (1984)
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Brown Brown, Allan Allan, Terry Terry (1983)
New evidence on the nature of size‐related anomalies in stock pricesJournal of Financial Economics, 12
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William Kross (1985)
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Marc Reinganum (1982)
A Direct Test of Roll's Conjecture on the Firm Size EffectJournal of Finance, 37
J. Ritter (1988)
The Buying and Selling Behavior of Individual Investors at the Turn of the YearJournal of Finance, 43
Keim Keim (1983)
Size related anomalies and stock return seasonality: Empirical evidenceJournal of Financial Economics, 12
Marc Reinganum (1983)
Portfolio strategies based on market capitalization, 9
Keim Keim (1987)
Daily returns and size related premiums: One more timeJournal of Portfolio Management, 13
K. Cohen, Gabriel Hawawini, Steven Maier, R. Schwartz, David Whitcomb (1983)
Friction in the trading process and the estimation of systematic riskJournal of Financial Economics, 12
Marc Reinganum (1983)
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Donald Keim (1987)
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Sidney Wachtel (1942)
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Donald Keim (1983)
SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical EvidenceJournal of Financial Economics, 12
Donald Keim (1989)
Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning pointsJournal of Financial Economics, 25
H. Stoll, R. Whaley (1983)
Transaction costs and the small firm effectJournal of Financial Economics, 12
R. Haugen, Josef Lakonishok (1988)
The incredible January effect : the stock market's unsolved mystery
M. Blume, R. Stambaugh (1983)
BIASES IN COMPUTED RETURNS An Application to the Size EffectJournal of Financial Economics, 12
P. Schultz (1983)
Transaction costs and the small firm effect: A commentJournal of Financial Economics, 12
Marc Reinganum (1981)
The Arbitrage Pricing Theory: Some Empirical ResultsJournal of Finance, 36
Richard Roll (1983)
On computing mean returns and the small firm premiumJournal of Financial Economics, 12
P. Handa, S.P Kothari, Charles Wasley (1989)
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Josef Lakonishok, S. Smidt (1984)
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ABSTRACT The January effect is primarily a low‐share price effect and less so a market value effect. In the recent 1977–1986 period, after‐transaction‐cost raw and excess January returns are lower on low‐price stocks than on high‐price stocks. Failure of informed traders to eliminate significantly large before‐transaction‐cost excess January returns on low‐price stocks is potentially explained by higher transaction costs and a bid‐ask bias. At the least, the January anomaly found in prior tests is not persistent, and thereby, not likely to be exploitable by typical investors.
The Journal of Finance – Wiley
Published: Jun 1, 1992
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