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Return Autocorrelations around Nontrading Days

Data up to Jan 2025

Published1993
Citations122
References27

Total Citations Per Year

Abstract

References (27)

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

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

The Behavior of Stock Prices on Fridays and Mondays

1973 • 797 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

The Week‐End Effect in Common Stock Returns: The International Evidence

1985 • 706 citations

Weekend Effects on Stock Returns: A Note

1982 • 438 citations

Vas Ist Das?

1983 • 433 citations

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

1990 • 397 citations

Indexes of U.S. Stock Prices from 1802 to 1987

1990 • 386 citations

Private Information, Trading Volume, and Stock-Return Variances

1990 • 363 citations

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

1989 • 309 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 215 citations

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

1989 • 211 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

1990 • 111 citations

Weekend Effects on Stock Returns: A Note

1982 • 104 citations

Weekend Effects on Stock Returns: A Comment

1985 • 75 citations

An Introduction to Options and Futures.

1990 • 56 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

Assessing the Costs of Regulation: The Case of Dual Trading

1994 • 21 citations

Trading Frictions and Futures Price Movements

1988 • 14 citations

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Return Autocorrelations around Nontrading Days (1993) – Review of Financial Studies | Metascience Observatory Explorer