Investing in the Turn-of-the-Year Effect in the US Futures Markets

The Behavior of Stock-Market Prices

1965 • 8,575 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Efficient Capital Markets: II

1991 • 5,145 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

Biases in computed returns

1983 • 846 citations

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

1988 • 439 citations

Program Trading and Expiration-Day Effects

1987 • 210 citations

Growth Versus Security in Dynamic Investment Analysis

1992 • 178 citations

The January Size Effect: Anomaly or Risk Mismeasurement?

1986 • 133 citations

World wide security market regularities

1994 • 48 citations

The Theory of Security Pricing and Market Structure

1991 • 45 citations

OR Practice—Playing the Turn-of-the-Year Effect with Index Futures

1987 • 41 citations