Financial Assets Returns
1. CLM, Chapter 1.1-1.4, 3.1-3.2
2. Fama, Eugene F., Foundations of Finance, Chapters 1-2
3. Blattberg, R., and N. Gonedes, 1974, A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices, Journal of Business 47, 244-280.
4. Richardson, Matthew, and Tom Smith, 1993, A Test for Multivariate Normality in Stock Returns, Journal of Business 66, 295-321.
5. Kon, S., 1984, Models of Stock Returns: A Comparison, Journal of Finance 39, 148-165.
6. Harris, Lawrence, 1986, A Transactions Data Study of Weekly and Intradaily Patterns in Stock Returns, Journal of Financial Economics 16, 99-117.
7. Merton, Robert, 1980, On Estimating the Expected Return on the Market, Journal of Financial Economics 8, 323-361.
8. Stambaugh, Robert F., 1997, Analyzing Investments Whose Histories Differ in Length, Journal of Financial Economics 45, 281-331.
9. Pástor, Lubos, and Robert F. Stambaugh, 1999, Cost of Equity Capital and Model Mispricing, Journal of Finance 55, 67-121.
10. Pástor, Lubos, and Robert F. Stambaugh, 2001, The Equity Premium and Structural Breaks, Journal of Finance 56, 1207-1239.
11. Parkinson, Michael, 1980, The Extreme Value Method for Estimating the Variance of the Rate of Return, Journal of Business 53, 61-65
12. Garman, Mark B., and J. Michael Klass, 1980, On the Estimation of Security Price Volatilities from Historical Data, Journal of Business 53, 67-78
13. Wiggins, James B., 1991, Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks, Journal of Business 64, 417-432.
14. Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, Have Individual Stocks Become More Volatile: An Empirical Exploration of Idiosyncratic Risk, Journal of Finance 56, 1-43.
15. Getmansky, Mila, Andrew W. Lo, and Igor Makarov, 2004, An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74, 529-609.
16. Timmermann, Allan, and Andrew J. Patton, 2010, Monotonicity in Asset Returns: New Tests with Applications to the Term Structure, the CAPM and Portfolio Sorts, Journal of Financial Economics 98, 605-625.
17. Ibbotson, Roger, and Rex G. Sinquefield, 2001, Stocks, Bonds, Bills, and Inflation: Historical Returns (1926-2000), Dow Jones-Irwin, Homewood. Updated versions of the data are available on machine readable form.
19. TSE-CFMRC documentation
Biases in Returns
1. Elton, Edwin J., 1999, Expected Return, Realized Return and Asset Pricing Tests, Journal of Finance 55, 1199-1220.
2. Roll, Richard, 1983, On Computing Mean Returns and the Small Firm Premium, Journal of Financial Economics 12, 371-386
3. Blume, Marshall E., and Robert F. Stambaugh, 1983, Biases in Computed Returns - An Application to the Size Effect, Journal of Financial Economics 12, 387-404
4. Gottlieb, Gary, and Avner Kalay, 1985, Implications of the Discreteness of Observed Stock Prices, Journal of Finance 40, 135-153.
5. Cho, D. Chinhyung, and Edward W. Frees, 1988, Estimating the Volatility of Discrete Stock Prices, Journal of Finance 43, 451-466.
6. Ball, Clifford A., 1988, Estimation Bias Induced by Discrete Security Prices, Journal of Finance 43, 841-865.
7. Harris, Lawrence, 1990, Estimation of Stock Price Variances and Serial Covariances from Discrete Observations, Journal of Financial and Quantitative Analysis 25, 291-306.
8. Brown, Stephen J., William N. Goetzmann, and Stephen A. Ross, 1995, Survival, Journal of Finance 50, 853-873.
9. Goetzmann, William, and Phillipe Jorion, 1999, Global Stock Market in the Twentieth Century, Journal of Finance 54, 953-980.
10. Li, Haitao, and Yuewu Xu, 2002, Survival Bias and Equity Returns, Journal of Finance 57, 1981-1995.
11. Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988, Journal of Finance 48, 1993, 93-130.
12. Malkiel, Burton G., 1995, Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance 50, 549-572.
13. Brown, Stephen, William Goetzmann, Roger Ibbotson, and Stephen Ross, 1992, Survivorship Bias in Performance Studies, Review of Financial Studies 5, 553-580.
14. Carpenter, Jennifer M., and Anthony W. Lynch, 1999, Survivorship Bias and Attrition Effects in Measures of Performance Persistence, Journal of Financial Economics 54, 337-374.
15. Carhart, Mark M., Jennifer M. Carpenter, Anthony W. Lynch, and David K. Musto, 2002, Mutual Fund Survivorship, Review of Financial Studies 15, 1439-1463.
Generalized Method of Moments
1. Davidson, Russell, and James G. Mackinnon, 1993, Estimation and Inference in Econometrics, Chapter 17.
2. Hansen, Lars Peter, 1982, Large Sample Properties of Generalized Method of Moments Estimators, Econometrica 50, 1029-1054.
3. Ogaki, Masao, 1992, An Introduction to the Generalized Method of Moments, Working Paper No. 314, University of Rochester.
4. Hall, Alastair R., 2005, Generalized Method of Moments, Oxford, New York.
5. White, Halbert, 1980, A Heteroscedasticity-Consistent Covariance Estimator and a Direct Test for Heteroscedasticity, Econometrica 48, 817-838.
6. Hsieh, David A., 1983, A Heteroscedasticity-Consistent Covariance Matrix Estimator for Time Series Regressions, Journal of Econometrics 22, 281-290.
7. MacKinnon, James G., and Halbert White, 1985, Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties, Journal of Econometrics 29, 305-325.
8. Hansen, Lars P., and Robert J. Hodrick, 1980, Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis, Journal of Political Economy 88, 829-853.
9. Newey, Whitney, and Kenneth D. West, 1987, A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica 55, 703-708
10. Andrew, Donald W. K., 1991, Heteoskedasticity and Autocorrelation Consistent Covariance Matrix Estimation, Econometrica 59, 817-858.
11. Andrews, Donald W. K., and J. Christopher Monahan, 1992, An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator, Econometrica 60, 953-996.
12. Eichenbaum, Martin S., Lars Peter Hansen, and Kenneth J. Singleton, 1988, A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty, Quaterly Journal of Economics, 51-78.
13. Hansen, Lars Peter, and Kenneth J. Singleton, 1982, Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica 50, 1269-1286.
14. Hansen, Lars Peter, and Kenneth J. Singleton, 1984, Errata, Econometrica 52, 267-268.
15. Newey, Whitney K., 1985, Generalized Method of Moments Specification Testing, Journal of Econometrics 29, 229-256.
16. MacKinlay, A. Craig, and Matthew P. Richardson, 1991, Using Generalized Method of Moments to Test Mean-Variance Efficiency, The Journal of Finance 46, 511-527.
17. Richardson, Matthew, and Tom Smith, 1991, Tests of Financial Models in the Presence of Overlapping Observations, The Review of Financial Studies 4, 227-254.
18. Ferson, Wayne E., and Stephen R. Foerster, 1994, Finite Sample Properties of the Generalized Method of Moments in Tests of Conditional Asset Pricing Models, Journal of Financial Economics 36, 29-55.
19. Zhou, Guofu, 1994, Analytical GMM Tests: Asset Pricing with Time-Varying Risk, Review of Financial Studies 7, 687-709.
20. Hall, Alastair R., and Atsushi Inoue, 2003, The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models, Journal of Econometrics 114, 361-394.
21. Special Section on Small-Sample Properties of Generalized Method of Moments (GMM), 1996, Journal of Business and Economic Statistics 14(3), 261-373.
Predictability of Returns - Short Horizon
1. CLM Chapter 2.1-2.4
2. Lo, Andrew W., and Craig A. MacKinlay, 1988, Stock Prices Do not Follow Random Walks, Review of Financial Studies 1, 41-66.
3. Lo, Andrew W., and Craig A. MacKinlay, 1989, The Size and Power of the Variance Ratio Test in Finite Samples, Journal of Econometrics 40, 203-238.
4. Lo, Andrew W., and Craig A. MacKinlay, 1990, When are Contrarian Profits Due to Stock Market Overreaction? Review of Financial Studies 3, 175-205.
5. Chan, Kalok, 1993, Imperfect Information and Cross-Autocorrelation among Stock Returns, Journal of Finance 48, 1211-1230.
6. Badrinath, S. G., Kale, R. Jayant, and Thomas H. Noe, 1995, Of Shepherds, Sheep, and Cross-Autocorrelations in Equity Returns, Review of Financial Studies 8, 401-430.
7. Boudoukh, J., M. Richardson, and R. Whitelaw, 1994, A Tale of Three Schools: Insights on Autocorrelations of Short-Horiozn Stock Returns, Review of Financial Studies 7, 539-573.
Predicatability of Returns - Intermediate and Long Horizon
1. CLM Chapter 2.5-2.9
2. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91.
3. Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum Strategies, Journal of Finance 51, 1681-1713.
4. Karolyi, G. Andrew, and Bong-Chan Kho, 1994 Time-Varying Risk Premia and the Returns to Buying Winners and Selling Losers: Caveat Emptor et Venditor, Working Paper, Ohio State University.
5. Fama, Eugene F., and Kenneth F. French, 1988, Permanent and Temporary Components of Stock Prices, Journal of Political Economy 96, 246-273.
6. Poterba, James M., and Lawrence H. Summers, 1988, Mean Reversion in Stock Prices - Evidence and Implications, Journal of Financial Economics 22, 27-59.
7. Richardson, Matthew, 1993, Temporary Components of Stock Prices: A Skeptic's View, Journal of Business and Economic Statistics 11, 199-207.
8. Richardson, Matthew, and James Stock, 1989, Drawing Inferences from Statistics Based on Multi-year Asset Returns, Journal of Financial Economics 25, 323-348.
9. Jegadeesh, Narasimhan, 1991, Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and U.K., Journal of Finance 25, 1427-1444.
10. Efron, Bradley, 1982, The Jackknife, the Bootstrap, and Other Resampling Plans, Society for Indusrial and Applied Mathematics, Philadelphia.
11. Huizinga, John, 1984, Tests of Market Efficiency in Models with Multiperiod Forecasts, Working Paper, Graduate School of Business, University of Chicago.
12. Kandel, Shmuel, and Robert F. Stambaugh, 1996, On the Predictability of Stock Returns: An Asset-Allocation Perspective, Journal of Finance 51, 385-424.
Predicatability of Returns - Instrumental Variables
1. CLM, Chapter 7
2. Fama, Eugene F., and Kenneth F. French, 1988, Dividend Yields and Expected Stock Returns, Journal of Financial Economics 22, 3-25.
3. Fama, Eugene F., and Kenneth F. French, 1989, Business Conditions and Expected Returns on Stocks and Bonds, Journal of Financial Economics 25, 23-50.
4. Fama, Eugene F., and Kenneth F. French, 1993, Common Risk Factors in the Returns on Bonds and Stocks, Journal of Financial Economics 33, 3-56.
5. Hodrick, Robert J., 1992, Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement, Review of Financial Studies 5, 357-386.
6. Valkanov, Rossen, 2003, Long-horizon Regressions: Theoretical Results and Applications, Journal of Financial Economics 68, 201--232.
7. Campbell, John J., and Robert J. Shiller, 1988, The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, Review of Financial Studies 1, 195-228.
8. Nelson, Charles R., and Myung J. Kim, 1993, Predictable Stock Returns: The Role of Small Sample Bias, Journal of Finance 48, 641-661.
9. Stambaugh, Robert F., 1999, Predictive Regressions, Journal of Financial Economics 54, 375-421.
10. Goetzmann, William N., and Philippe Jorion, 1993, Testing the Predictive Power of Dividend Yields, Journal of Finance 48, 663-679.
11. Foster, F. Douglas, Tom Smith, and Robert E. Whaley, 1997, Assessing Goodness-of-fit of Asset Pricing Models: The Distribution of the Maximal R-squared, Journal of Finance 52, 591-607.
12. Ferson, Wayne, E., Sergei Sarkissian, and Timothy T. Simin, 2003, Spurious Regressions in Financial Economics, Journal of Finance 58, 1393-1414.
13. Aďt-Sahalia, Yacine, and Michael W. Brandt, 2001, Variable Selection for Portfolio Choice, Journal of Finance 56, 1297-1351.
Empirical Tests of the CAPM and Multi-factor Models
1. CLM, Chapter 5-6
2. Fama, Eugene F., Foundations of Finance, Chapters 7-9.
3. Fama, Eugene F. and James D. MacBeth, 1973, Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy 81, 607-636.
4. Shanken, Jay, 1992, On the Estimation of Beta-Pricing Models, Review of Financial Studies 5, 1-33.
5. Roll, Richard, and Stephen Ross, 1994, On the Cross-sectional Relationship between Expected Returns and Betas, Journal of Finance 49, 101-121.
6. Roll, Richard, 1977, A Critique of the Asset Pricing Theory's Tests: Part I: On Past and Potential Testability of Theory, Journal of Financial Economics 4, 129-176.
7. Gibbons, Michael, 1982, Multivariate Tests of Financial Models: A New Approach, Journal of Financial Economics 10, 3-27.
8. Gibbons, Michael, Stephen Ross, and Jay Shanken, 1989, A Test of the Efficiency of a Given Portfolio, Econometrica 57, 1121-1152.
9. Stambaugh, Robert F., 1982, On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis, Journal of Financial Economics 10, 237-268.
10. MacKinlay, A. Craig, 1987, On Multivariate Tests of the CAPM, Journal of Financial Economics 18, 341-371.
11. Kandel, Shmuel, 1984, The Likelihood Ratio Test Statistic of Mean-Variance Efficiency without a Riskless Asset, Journal of Financial Economics 13, 575-592.
12. Shanken, Jay, 1985, Multivariate Tests of the Zero-beta CAPM, Journal of Financial Economics 14, 327-348.
13. Jobson, K., and Bob Korkie, 1982, Potential Performance and Tests of Portfolio Efficiency, Journal of Financial Economics 10, 433-466.
14. Kandel, Shmuel, and Robert F. Stambaugh, 1987, On Correlations and Inference About Mean-Variance Efficiency, Journal of Financial Economics 18, 61-90.
15. Kandel, Shmuel, and Robert F. Stambaugh, 1989, A Mean-Variance Framework for Tests of Asset Pricing Models, Review of Financial Studies 2, 125-156.
16. Zhou, Goufu, 1991, Small Sample Tests of Portfolio Efficiency, Journal of Financial Economics 30, 165-191.
17. Zhou, Goufu, 1993, Asset-Pricing Tests Under Alternative Distributions, Journal of Finance 48, 1927-1942.
18. Kandel, Shmuel, and Robert F. Stambaugh, 1995, Portfolio Inefficiency and the Cross-section of Expected Returns, Journal of Finance 50, 157-184.
19. Kim, DongCheol, 1995, The Errors in the Variables Problem in the Cross-Section of Expected Stock Returns, Journal of Finance 50, 1605-1634.
20. Kan, Raymond, and Chu Zhang, 1999, Two-pass Tests of Asset Pricing Models with Useless Factors, Journal of Finance 55, 204-235.
21. Huberman, Gur, and Shmuel Kandel, 1987, Mean-variance Spanning, Journal of Finance 42, 873-888.
22. Kan, Raymond, and Guofu Zhou, 2001, Tests of Mean-Variance Spanning, working paper, University of Toronto and Washington University in St. Louis.
23. Lewellen, Joanthan, Stefan Nagal, and Jay Shanken, 2010, A Skeptical Appraisal of Asset Pricing Tests, Journal of Financial Economics 96, 175-194.
24. Gibbons, Michael. R., and Wayne E. Ferson, 1985, Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio, Journal of Financial Economics 14, 217-236.
25. Ferson, Wayne E., Stephen R. Foerster, and Donald Keim, 1993, General Tests of Latent Variable Models and Mean Variance Spanning, Journal of Finance 48, 131-156.
Stochastic Discount Factors
1. Cochrane, John, 2001, Asset Pricing, Chapters 1, 4-6
2. Hansen, Lars Peter, and Ravi Jagannathan, 1991, Implications of Security Market Data for Models of Dynamic Economies, Journal of Political Economy 99, 225-262.
3. Hansen, Lars Peter, and Scott F. Richard, 1987, The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models, Econometrica 55, 587-613.
4. Ferson, Wayne E., and Andrew F. Siegel, 2003, Stochastic discount factor bounds with conditioning information, Review of Financial Studies 16, 567-595.
5. Chen, Zhiwu, and Peter Knez, 1996, Portfolio Performance Measurement: Theory and Applications, Review of Financial Studies 9, 551-555.
6. Abhyankar, Abhay, Devraj Basu, and Alexander Stremme, 2002, Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach, Working Paper, University of Warwick.
7. Cochrane, John H., and Lars Peter Hansen, 1992, Asset Pricing Explorations for Macroeconomists, NBER Macroeconomic Annual, 115-165.
8. Cochrane, John H., and Lars Peter Hansen, 1992, Assessing Specification Errors in Stochastic Discount Factor Model, Journal of Finance 52, 557-590.
9. Hodrick, Robert J., and Xiaoyan Zhang, 2001, Evaluating the Specification Errors of Asset Pricing Models, Journal of Financial Economics 62, 327-376.
10. Kan, Raymond, and Guofu Zhou, 2003, Hansen-Jagannathan Distance: Geometry and Exact Distribution, working paper, University of Toronto and Washington University in St. Louis.
Tests of Market Efficiency
1. CLM, Chapter 1.5
2. Fama, Eugene F., Foundations of Finance, Chapters 5-6.
3. Fama, Eugene F., 1991, Efficient Capital Markets: II, Journal of Finance 46, 1575-1617.
4. DeBondt, Werner F. M., and Richard M. Thaler, 1985, Does the Stock Market Overreact, Journal of Finance 40, 793-805.
5. Chan, K. C., 1988, On the Contraian Investment Strategy, Journal of Business 61, 147-163.
6. DeBondt, Werner F. M., and Richard M. Thaler, 1987, Further Evidence on Investor Overreaction and Stock Market Seasonality, Journal of Finance 42, 557-581.
7. Zarowin, Paul, 1989, Does the Stock Market Overreact to Corporate Earnings Information? Journal of Finance 44, 1385-1399.
8. Zarowin, Paul, 1990, Size, Seasonality, and Stock Market Overreaction, Journal of Financial and Quantitative Analysis 25, 113-125.
9. Chopra, Navin, Josef Lakonishok, and Jay Ritter, 1992, Measuring Abnormal Returns: Do Stocks Overreact? Journal of Financial Economics 31, 235-268.
10. Conrad, Jennifer, and Gautam Kaul, 1993, Long-term Market Overreaction or Biases in Computed Returns? Journal of Finance 48, 39-63.
11. Brown, Stephen, and Jerold B. Warner, 1985, Using Daily Stock Returns - The Case of Event Studies, Journal of Financial Economics 14, 3-31.
12. Fama, Eugene F., 1998, Market Efficiency, Long-term Returns, and Behavioral Finance, Journal of Financial Economics 49, 283-306.
13. Ritter, Jay R., 1991, The Long-run Performance of Initial Public Offerings, Journal of Finance 46, 3-27.
14. Barber, Brad M., and John D. Lyon, 1997, Detecting Long-horizon Abnormal Returns: The Empirical Power and Specification of Test Statistics, Journal of Financial Economics 43, 341-372.
Asset Pricing Anomalies
1. Lo, Andrew W., and A. Craig MacKinlay, 1990, Data-Snooping Biases in Tests of Financial Asset Pricing Models, Review of Financial Studies 3, 431-467.
2. Shanken, Jay, 1987, Multivariate Proxies and Asset Pricing Relations - Living with Roll's Critique, Journal of Financial Economics 18, 91-110.
3. MacKinlay, A. Craig, 1995, Multifactor Models Do Not Explain Deviations from the Asset Pricing Models, Journal of Financial Economics 38, 3-28.
4. Banz, Rolf W., 1981, The Relationship between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18.
5. Basu, S., 1977, The Investment Performance of Common Stocks in Relation to Their Price-Earning Ratios: A Test of the Efficient Market Hypothesis, Journal of Finance 33, 663-682.
6. Reinganum, Marc R., 1981, Misspecification of Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values, Journal of Financial Economics 9, 19-46.
7. Basu, S., 1983, The Relationships between Earnings Yield, Market Value, and Return for NYSE Common Stocks, Journal of Financial Economics 12, 129-156.
8. Jaffe, Jafferey, Donald B. Keim, and Randolph Westerfield, 1989, Earnings Yield, Market Values, and Stock Returns, Journal of Finance 44, 135-148.
9. Schwert, G. William, 1983, Size and Stock Returns and Other Empirical Regularities, Journal of Financial Economics 12, 3-12.
10. Keim, Donald B., 1983, Size Related Anomalies and Stock Returns Seasonality: Further Empirical Evidence, Journal of Financial Economics 12, 13-32.
11. Roll, Richard, 1981, A Possible Explanation of the Small Firm Effect, Journal of Finance 36, 879-887.
12. Reinganum, Marc R., 1982, A Direct Test of Roll's Conjecture on the Firm Size Effect, Journal of Finance 37, 27-35.
13. Ritter, Jay R., and Navin Chopra, 1989, Portfolio Rebalancing and the Turn-of-the-Year Effect, Journal of Finance 44, 149-166.
14. Tinic, Seha M., and Richard R. West, 1984, Risk and Return: January vs. the Rest of the Year, Journal of Financial Economics 13, 561-574.
15. Fama, Eugene F. and Kenneth R. French, 1992, The Cross-section of Expected Stock Returns, Journal of Finance 47, 427-465.
16. Fama, Eugene F. and Kenneth R. French, 1995, Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance 50, 131-155.
17. Fama, Eugene F. and Kenneth R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance 51, 55-84.
18. Jagannathan, Ravi, and Zhenyu Wang, 1996, The Conditional CAPM and the Cross-Section of Expected Returns, Journal of Finance 51, 3-53.
19. Chan, Louis K. C., and Josef Lakonishok, 1993, Are the Reports of Beta's Death Premature? Journal of Portfolio Management 19, 51-62.
20. Gibbons, Michael, and Patrick Hess, 1981, Day of the Week Effects and Asset Returns, Journal of Business 54, 579-596.
21. French, Kenneth, 1980, Stock Returns and the Weekend Effect, Journal of Financial Economics 8, 55-69.
22. French, Kenneth, and Richard Roll, 1986, Stock Return Variance: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics 17, 5-26.
23. Lakonishok, Josef, and Seymour Smidt, 1988, Are Seasonal Anomalies Real? A Ninety-Year Persepctive, Review of Financial Studies 1, 403-425.
24. Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross-sectional variation in stock returns, Journal of Finance 52, 1-34.