McGraw-Hill

154 seleding securities
Chari,V., R. Jagannathan, and A. Ofer. 1986. ”Fiscal year end and the January effect.”
Working Paper #20, Kellogg Graduate School of Management, Northwestern
University, Evanston, Illinois, July.
Constantinides, G. 1984. “Optimal stock trading with personal taxes: Implications
for prices and the abnormal January returns.” Journal of Financial Economics
13 (1): 65-89.
Corhay, A., G. Hawawini, and P. Michel. 1987. “Seasonality in the risk-return relationship:
Some international evidence.” Journal ofFinance 42 (1): 49-68.
Cornell, B. 1985. “The weekly pattern in stock returns: Cash versus futures: A
note.” Journal of Finance 40 (2): 583-588.
Coursey, D. and E. Dyl. 1986. “Price effects of trading interruptions in an experimental
market.” Working Paper, University of Wyoming, Laramie. [See
“Price limits, trading suspensions, and the adjustment of prices to new information.”
Review of Futures Markets 9 (2): 342-360.1
Cross, F. 1973. “The behavior of stock prices on Fridays and Mondays.” Financial
Analysts Journal29 (6): 67-69.
Dyl, E. and E. Maberly. 1986. “The weekly pattern in stock index futures:A further
note.” Journal ofFinance 41 (5): 1149-1152.
Dyl, E. and S. Martin. 1985. ”Weekend effects on stock returns A comment.” Journal
ofFinance 40 (1): 347-349.
Ferris, S., R. Haugen, and A. Makhija. 1988. ‘’Predicting contemporary volume
with historic volume at differential price levels.” Journal of Finance 43 (3):
677-699.
Fields, M. 1931. ”Stock prices: A problem in verification.” Journal of Business 4.
-. 1934. “Security prices and stock exchange holidays in relation to sell- short
ing.’’ Journal of Business 7 328338.
Flannery, M. and A. Protopapadakis. 1988. “From T-bills to common stocks Investigating
the generality of intra-week return seasonality.” Journal ofFinance 43
(2): 431-450.
Fosback, N. 1976. Stock Mnrket Logic. Fort Lauderdale, Florida: Institute for Econometric
Research.
French, K. 1980. ”Stock returns and the weekend effect.” Journal ofFinancial Economics
8 (1): 55-69
Gibbons, M. and P. Hess. 1981. “Day of the week effect and asset returns.”Journal of
Business 54 (4): 579-596.
Givoly, D. and A. Ovadia. 1983. “Year-end tax-induced sales and stock market seasonality.”
Journal ofFinance 38 (1): 171-185.
Gultekin, M. and B. Gultekin. 1983. “Stock market seasonality: The of case stockreturns.“Journal
of Financial Economics 12 (3): 379-402.
-and-
.1987.“Stock return anomalies and the of tests the APT.” Journal
ofFinance 42 (5): 1213-1224.
Harris, L. 19%~. “A day-end transaction price anomaly.” Working Paper, University
of Southern California, Los Angeles, October. [Published inJournal ofFimnciul
and Quantitntioe Analysis 24 (1): 29-46.]
-. 1986b. “A transaction data study of weekly and intradaily patterns in stock
. returns.”Journal #Financial Economics 16 (1):99-117.