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Firm Heterogeneity and Calendar Anomalies

https://doi.org/10.2139/ssrn.2052080
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29/29 checkable references clean · checked 2026-08-29

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

The 29 checked references that resolve
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The Individual Investor and the Weekend Effect
resolves10.1016/j.jbankfin.2004.11.004
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resolves10.1016/S1058-3300(03)00038-7
The day of the week effect on stock market volatility and volume: International evidence
resolves10.1016/0304-4076(86)90063-1
Generalized autoregressive conditional heteroskedasticity
resolves10.3386/w3742
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
resolves10.1016/s0378-4266(98)00023-5
US day-of-the-week effects and asymmetric responses to macroeconomic news
resolves10.1016/0378-4266(95)00054-2
The day-of-the-week effect: The international evidence
resolves10.2307/2328067
Weekend Effects on Stock Returns: A Comment
resolves10.2307/1912773
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
resolves10.2307/2325486
Efficient Capital Markets: A Review of Theory and Empirical Work
resolves10.1093/rfs/3.4.593
A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets
resolves10.1016/0304-405X(86)90004-8
Stock return variances
resolves10.1016/0304-405x(80)90021-5
Stock returns and the weekend effect
resolves10.1086/296147
Day of the Week Effects and Asset Returns
resolves10.1016/j.jempfin.2007.11.002
Firm heterogeneity and credit risk diversification
resolves10.1093/rfs/4.3.543
Volatility in the Foreign Currency Futures Market
resolves10.2307/2330959
Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects
resolves10.1111/j.1540-6261.1985.tb04966.x
The Week‐End Effect in Common Stock Returns: The International Evidence
resolves10.1016/0378-4266(89)90035-6
A twist on the Monday effect in stock prices
resolves10.2307/2331067
The Dependence between Hourly Prices and Trading Volume
resolves10.1086/209708
New Evidence on the Monday Seasonal in Stock Returns
resolves10.1111/j.1540-6261.1984.tb03675.x
A Further Investigation of the Weekend Effect in Stock Returns
resolves10.1111/j.1540-6261.1982.tb02231.x
Weekend Effects on Stock Returns: A Note
resolves10.1111/j.1540-6261.1990.tb05089.x
The Weekend Effect: Trading Patterns of Individual and Institutional Investors
resolves10.1287/opre.10.3.345
Periodic Structure in the Brownian Motion of Stock Prices
resolves10.1016/s0378-4266(03)00046-3
Hedging behavior in small and medium-sized enterprises: The role of unobserved heterogeneity
resolves10.1111/j.1540-6261.1984.tb04927.x
New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note
resolves10.1111/j.1540-6261.1989.tb02647.x
Why Does Stock Market Volatility Change Over Time?
resolves10.1016/0378-4266(90)90059-b
Day-of-the-week effect on the Paris Bourse
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