Portfolio Rebalancing and the Turn‐of‐the‐Year Effect

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 7,696 citations

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Biases in computed returns

1983 • 846 citations

BETAS AND THEIR REGRESSION TENDENCIES

1975 • 538 citations

The Buying and Selling Behavior of Individual Investors at the Turn of the Year

1988 • 439 citations

Vas Ist Das?

1983 • 433 citations

Size, Seasonality, and Stock Market Overreaction

1990 • 404 citations

Stocks, bonds, bills, and inflation yearbook

1993 • 385 citations

Risk and return

1984 • 330 citations

CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR

1977 • 256 citations

Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect

1988 • 240 citations

Risk, Return, and Equilibrium: A Revisit

1986 • 185 citations

The incredible January effect

1987 • 165 citations

On multivariate tests of the CAPM

1987 • 157 citations

The January Size Effect: Anomaly or Risk Mismeasurement?

1986 • 133 citations

Seasonality in the Risk‐Return Relationship: Some International Evidence

1987 • 84 citations

Can Tax‐Loss Selling Explain the January Seasonal in Stock Returns?

1986 • 74 citations

The Seasonal Stability of the Factor Structure of Stock Returns

1987 • 36 citations

A Passive Futures Strategy that Outperforms Active Management

1986 • 10 citations