Firm Size and Turn‐of‐the‐Year Effects in the OTC/NASDAQ Market

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Misspecification of capital asset pricing

1981 • 1,344 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

Stock market seasonality

1983 • 594 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

On the Contrarian Investment Strategy

1988 • 584 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Transaction costs and the small firm effect

1983 • 461 citations

Vas Ist Das?

1983 • 433 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence

2011 • 347 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Certain Observations on Seasonal Movements in Stock Prices

1942 • 316 citations

Stock return seasonalities and the tax-loss selling hypothesis

1983 • 264 citations

CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR

1977 • 256 citations

A Tax Loss Trading Rule

1977 • 247 citations

An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

1988 • 243 citations

Volume and turn-of-the-year behavior

1984 • 168 citations

The Turn‐of‐the‐Year in Canada

1984 • 166 citations

An Empirical Analysis of Common Stock Delistings

1990 • 152 citations

On the current state of the stock market rationality hypothesis

1985 • 136 citations

Seasonality in Australian capital markets

1975 • 132 citations

The Puzzle in Post‐Listing Common Stock Returns

1987 • 107 citations

Can Tax‐Loss Selling Explain the January Effect? A Note

1987 • 98 citations

Return seasonality and tax-loss selling in the market for long-term government and corporate bonds

1986 • 79 citations

Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note

1985 • 77 citations

The Relation Between Common Stock Returns Trading Activity and Market Value

1983 • 76 citations

The puzzling price behavior of treasury bills that mature at the turn of calendar months

1986 • 74 citations

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

1986 • 74 citations

The consumption based asset pricing model

1981 • 62 citations

Capital Market Seasonality: The Case of Bond Returns

1979 • 52 citations

Macroeconomics and finance

1998 • 45 citations