A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 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

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

Comparing alternative tests of causality in temporal systems

1983 • 643 citations

New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note

1984 • 449 citations

Vas Ist Das?

1983 • 433 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

The Dependence of Prices and Volume

1978 • 182 citations

Year‐End Tax‐Induced Sales and Stock Market Seasonality

1983 • 142 citations

The CAPM and Equity Return Regularities

1986 • 57 citations

Stock Market Logic: A Sophisticated Approach to Profits on Wall Street.

1977 • 39 citations

Price Behavior of Corporate Equities near Option Expiration Dates

1981 • 28 citations

Trading bargains in small firms at year-end

1986 • 7 citations