EVIDENCE ON THE BEHAVIOR OF BID AND ASK PRICES AT THE TURN OF THE YEAR: IMPLICATIONS FOR THE SURVIVAL OF STOCK RETURN SEASONALITY

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

1980 • 25,774 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

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

1985 • 6,148 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

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

1988 • 439 citations

Vas Ist Das?

1983 • 433 citations

The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid‐Ask Bias

1992 • 324 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

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

1989 • 182 citations

The January Size Effect: Anomaly or Risk Mismeasurement?

1986 • 133 citations

New Evidence on The January Effect Before Personal Income Taxes

1991 • 73 citations

Seasonalities in NYSE Bid‐Ask Spreads and Stock Returns in January

1992 • 34 citations

Stock exchange procedure

1936 • 22 citations

Seasonality in NASDAQ Dealer Spreads

1989 • 20 citations