Institutions and Individuals at the Turn‐of‐the‐Year

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

1987 • 15,268 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

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

1988 • 439 citations

Vas Ist Das?

1983 • 433 citations

Risk and return

1984 • 330 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

Optimal stock trading with personal taxes

1984 • 301 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

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

1989 • 182 citations

The incredible January effect

1987 • 165 citations

Year‐End Tax‐Induced Sales and Stock Market Seasonality

1983 • 142 citations

Odd-Lot Transactions around the Turn of the Year and the January Effect

1992 • 96 citations

The January Effect and Aggregate Insider Trading

1988 • 84 citations

Evidence on Tax‐Motivated Securities Trading Behavior

1991 • 83 citations

Seasonality in Canadian Stock Prices: A Test of the "Tax-Loss-Selling" Hypothesis

1987 • 76 citations

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

1986 • 74 citations

Tax‐Induced Trading and the Turn‐of‐the‐Year Anomaly: An Intraday Study

1993 • 66 citations

THE SIZE EFFECT IS PRIMARILY A PRICE EFFECT

1985 • 46 citations

Recent Developments in Finance

1992 • 34 citations

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

1992 • 34 citations

Portfolio Rebalancing and the January Effect in Canada

1992 • 28 citations

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

1995 • 8 citations

Errors in Recorded Security Prices and the Turn-of-the-Year Effect

1989 • 7 citations

Noise Trader Risk, Odd-Lot Trading, and Security Returns

1994 • 3 citations