On the public citation graph

Seasonality in the Cross Section of Stock Returns: The International Evidence

https://doi.org/10.1017/s0022109010000451
0 signed · 106 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(76)90028-3openalex-snapshot
Capital market seasonality: The case of stock returns
inferredcites →https://doi.org/10.1016/0304-405x(83)90025-9openalex-snapshot
Size-related anomalies and stock return seasonality
inferredcites →https://doi.org/10.1016/0304-405x(83)90029-6openalex-snapshot
The anomalous stock market behavior of small firms in January
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(94)90028-0openalex-snapshot
Does industrial structure explain the benefits of international diversification?
inferredcites →https://doi.org/10.1016/0922-1425(91)90001-sopenalex-snapshot
Japanese security market regularities
inferredcites →https://doi.org/10.1016/j.jfineco.2007.02.003openalex-snapshot
Seasonality in the cross-section of stock returns☆
inferredcites →https://doi.org/10.1016/s0304-405x(98)00041-5openalex-snapshot
Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully…
inferredcites →https://doi.org/10.1016/s0922-1425(01)00067-6openalex-snapshot
Seasonality and stock returns: some evidence from Japan
inferredcites →https://doi.org/10.1023/a:1020691528681openalex-snapshot
Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market
inferredcites →https://doi.org/10.1046/j.1540-6261.2003.00614.xopenalex-snapshot
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
inferredcites →https://doi.org/10.1093/rfs/11.3.489openalex-snapshot
An Anatomy of Trading Strategies
inferredcites →https://doi.org/10.1093/rfs/3.2.175openalex-snapshot
When Are Contrarian Profits Due to Stock Market Overreaction?
inferredcites →https://doi.org/10.1093/rfs/3.3.431openalex-snapshot
Data-Snooping Biases in Tests of Financial Asset Pricing Models
inferredcites →https://doi.org/10.1111/0022-1082.00080openalex-snapshot
Value versus Growth: The International Evidence
inferredcites →https://doi.org/10.1111/0022-1082.00342openalex-snapshot
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
inferredcites →https://doi.org/10.1111/0022-1082.95722openalex-snapshot
International Momentum Strategies
inferredcites →https://doi.org/10.1111/1540-6261.00438openalex-snapshot
Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb05004.xopenalex-snapshot
Does the Stock Market Overreact?
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb04569.xopenalex-snapshot
Further Evidence On Investor Overreaction and Stock Market Seasonality
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05110.xopenalex-snapshot
Evidence of Predictable Behavior of Security Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03747.xopenalex-snapshot
The World Price of Covariance Risk
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02755.xopenalex-snapshot
Winner‐Loser Reversals in National Stock Market Indices: Can They be Explained?
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01532.xopenalex-snapshot
Individualism and Momentum around the World
inferredcites →https://doi.org/10.1257/000282803321455322openalex-snapshot
Winter Blues: A SAD Stock Market Cycle
inferredcites →https://doi.org/10.2139/ssrn.1101857openalex-snapshot
Common Patterns in Commonality in Returns, Liquidity, and Turnover Around the World
inferredcites →https://doi.org/10.2139/ssrn.265848openalex-snapshot
Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets
inferredcites →https://doi.org/10.2139/ssrn.40557openalex-snapshot
Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies
inferredcites →https://doi.org/10.2139/ssrn.908345openalex-snapshot
What Factors Drive Global Stock Returns?
inferredcites →https://doi.org/10.2139/ssrn.924056openalex-snapshot
What Factors Drive Global Stock Returns?
inferredcites →https://doi.org/10.2307/2326337openalex-snapshot
Foundations of Finance.
inferredcites →https://doi.org/10.2307/2937816openalex-snapshot
Fads, Martingales, and Market Efficiency
inferredcites →https://doi.org/10.3905/jpm.1997.409606openalex-snapshot
Parallels Between the Cross-Sectional Predictability of Stock and Country Returns

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1107590openalex-extracted
Intraday Patterns in the Cross-Section of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2044548openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2224246openalex-extracted
Return Seasonalities
inferred← citeshttps://doi.org/10.2139/ssrn.2303869openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2481042openalex-extracted
The Turn-of-The-Quarter Effect in Momentum and Reversal in U.S. Stocks: Price Pressure as the Result of Tax-Loss Sales and Window Dressing
inferred← citeshttps://doi.org/10.2139/ssrn.2721800openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2880257openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2908720openalex-extracted
An Empirical Analysis of Factor Seasonalities
inferred← citeshttps://doi.org/10.2139/ssrn.2947340openalex-extracted
Momentum, Reversals, and other Puzzles in Fama-MacBeth Cross-Sectional Regressions
inferred← citeshttps://doi.org/10.2139/ssrn.2980637openalex-extracted
Testing the Tax-Loss Selling Explanation of the January Effect: Evidence from a 'Confiscatory' Tax Implemented in France in 1921
inferred← citeshttps://doi.org/10.2139/ssrn.3053015openalex-extracted
Recurring Firm Events and Predictable Returns: The Within-Firm Time-Series
inferred← citeshttps://doi.org/10.2139/ssrn.3111467openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3185335openalex-extracted
How Many Firm Characteristics Drive US Stock Returns?
inferred← citeshttps://doi.org/10.2139/ssrn.3234436openalex-extracted
Constructing a Powerful Profitability Factor: International Evidence
inferred← citeshttps://doi.org/10.2139/ssrn.3266285openalex-extracted
A Seasonality Factor in Asset Allocation
inferred← citeshttps://doi.org/10.2139/ssrn.3276334openalex-extracted
Seasonal Reversals in Expected Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3424793openalex-extracted
Dissecting Momentum: We Need to Go Deeper
inferred← citeshttps://doi.org/10.2139/ssrn.3546295openalex-extracted
A Comparison of Global Factor Models
inferred← citeshttps://doi.org/10.2139/ssrn.3799873openalex-extracted
Seasonal Inventory Leverage
inferred← citeshttps://doi.org/10.2139/ssrn.4411451openalex-extracted
The Term Structure of Stock Return Predictability
inferred← citeshttps://doi.org/10.2139/ssrn.4413059openalex-extracted
Monetary transmission and portfolio rebalancing: A cross-sectional approach
inferred← citeshttps://doi.org/10.2139/ssrn.4455435openalex-extracted
Mercury, Mood, and Mispricing: A Natural Experiment in the Chinese Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.4488506openalex-extracted
Out-of-Sample Performance of Factor Return Predictors
inferred← citeshttps://doi.org/10.2139/ssrn.4490643openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4559807openalex-extracted
Echo Effect in Cross-Sectional Momentum: Empirical Tests
inferred← citeshttps://doi.org/10.2139/ssrn.4593107openalex-extracted
Mercury, Mood, and Mispricing: A Natural Experiment in the Chinese Stock Market
inferred← citeshttps://doi.org/10.1007/978-3-030-53864-4_9openalex-snapshot
Predicting Country Equity Returns: Data, Methods, and Empirical Evidence
inferred← citeshttps://doi.org/10.1007/978-3-319-91530-2_6openalex-snapshot
Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies
inferred← citeshttps://doi.org/10.1007/s11156-024-01319-8openalex-snapshot
Investor clientele and intraday patterns in the cross section of stock returns
inferred← citeshttps://doi.org/10.1007/s11408-017-0288-xopenalex-snapshot
Trading strategies based on past returns: evidence from Germany
inferred← citeshttps://doi.org/10.1007/s11408-020-00373-1openalex-snapshot
Seasonalities in the German stock market
inferred← citeshttps://doi.org/10.1016/j.econlet.2019.01.012openalex-snapshot
Return seasonalities in government bonds and macroeconomic risk
inferred← citeshttps://doi.org/10.1016/j.finmar.2021.100656openalex-snapshot
Ease-of-processing heuristics and asset prices: Evidence from the exchange-traded repo market in China
inferred← citeshttps://doi.org/10.1016/j.frl.2020.101566openalex-snapshot
Seasonality in the Cross-Section of Cryptocurrency Returns
inferred← citeshttps://doi.org/10.1016/j.frl.2021.102014openalex-snapshot
The month-of-the-year effect in corporate lending
inferred← citeshttps://doi.org/10.1016/j.frl.2022.103518openalex-snapshot
Pre-holiday limit order cancellation of individual and institutional investors
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104293openalex-snapshot
Factor seasonalities: International and further evidence
inferred← citeshttps://doi.org/10.1016/j.intfin.2020.101241openalex-snapshot
Eastern Halloween Effect: A Stochastic Dominance Approach
inferred← citeshttps://doi.org/10.1016/j.irfa.2022.102162openalex-snapshot
Cross-sectional seasonalities and seasonal reversals: Evidence from China
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2014.10.002openalex-snapshot
Momentum is really short-term momentum
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2018.11.004openalex-snapshot
Cross-sectional seasonalities in international government bond returns
inferred← citeshttps://doi.org/10.1016/j.jempfin.2018.11.001openalex-snapshot
Seasonality in the cross section of stock returns: Advanced markets versus emerging markets
inferred← citeshttps://doi.org/10.1016/j.jfineco.2012.10.006openalex-snapshot
The Earnings Announcement Premium Around the Globe
inferred← citeshttps://doi.org/10.1016/j.jfineco.2020.02.003openalex-snapshot
Mood beta and seasonalities in stock returns
inferred← citeshttps://doi.org/10.1016/j.jfineco.2020.07.009openalex-snapshot
Are return seasonalities due to risk or mispricing?
inferred← citeshttps://doi.org/10.1016/j.jimonfin.2020.102268openalex-snapshot
The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time
inferred← citeshttps://doi.org/10.1016/j.najef.2022.101706openalex-snapshot
Seasonality and momentum across national equity markets
inferred← citeshttps://doi.org/10.1016/j.pacfin.2021.101607openalex-snapshot
Anomalies in the China A-share market
inferred← citeshttps://doi.org/10.1016/j.qref.2015.05.001openalex-snapshot
Is the January effect rational? Insights from the accounting valuation model
inferred← citeshttps://doi.org/10.1017/s0022109015000575openalex-snapshot
Is Momentum an Echo?
inferred← citeshttps://doi.org/10.1080/10293523.2017.1326219openalex-snapshot
Seasonality in the cross section of factor premia
inferred← citeshttps://doi.org/10.1080/13504851.2021.1985068openalex-snapshot
Junk Stocks vs Quality Stocks, A Perspective from Mood Seasonality
inferred← citeshttps://doi.org/10.1080/14697688.2016.1154596openalex-snapshot
US stock returns: are there seasons of excesses?
inferred← citeshttps://doi.org/10.1093/rof/rfab014openalex-snapshot
Trading Volume and Time Varying Betas
inferred← citeshttps://doi.org/10.1093/rof/rfae027openalex-snapshot
Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning
inferred← citeshttps://doi.org/10.1108/bjm-04-2013-0073openalex-snapshot
Comparison of practitioners' views on managing equity investments
inferred← citeshttps://doi.org/10.1108/mf-11-2017-0451openalex-snapshot
The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks
inferred← citeshttps://doi.org/10.1108/rbf-03-2019-0038openalex-snapshot
Abnormal trading around common factor pricing models
inferred← citeshttps://doi.org/10.1111/irfi.70072openalex-snapshot
The Echo Effect of Momentum and Investor Trading Behavior
inferred← citeshttps://doi.org/10.1111/j.1468-036x.2013.12028.xopenalex-snapshot
When Do Sell‐side Analyst Reports Really Matter? Shareholder Protection, Institutional Investors and the Informativeness of Equity Research
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2010.01573.xopenalex-snapshot
Intraday Patterns in the Cross‐section of Stock Returns
inferred← citeshttps://doi.org/10.1111/jofi.12361openalex-snapshot
Earnings Announcements and Systematic Risk
inferred← citeshttps://doi.org/10.1111/jofi.12398openalex-snapshot
Return Seasonalities
inferred← citeshttps://doi.org/10.1146/annurev-financial-110217-022605openalex-snapshot
Recurring Firm Events and Predictable Returns: The Within-Firm Time Series
inferred← citeshttps://doi.org/10.1177/21582440221079873openalex-snapshot
Mood Beta, Sentiment and Stock Returns in China
inferred← citeshttps://doi.org/10.1287/mnsc.2023.4904openalex-snapshot
Replicating and Digesting Anomalies in the Chinese A-Share Market
inferred← citeshttps://doi.org/10.1561/104.00000032openalex-snapshot
Past Performance May Be an Illusion: Performance, Flows, and Fees in Mutual Funds
inferred← citeshttps://doi.org/10.2139/ssrn.4806275openalex-snapshot
Same-Weekday Momentum
inferred← citeshttps://doi.org/10.3386/w20815openalex-snapshot
Common Factors in Return Seasonalities
inferred← citeshttps://doi.org/10.3390/jrfm12040165openalex-snapshot
The Cross Section of Country Equity Returns: A Review of Empirical Literature
inferred← citeshttps://doi.org/10.35944/jofrp.2021.10.1.004openalex-snapshot
Behavioral Finance Research in 2020: Cui Bono et Quo Vadis?
inferred← citeshttps://doi.org/10.48550/arxiv.2004.01504openalex-snapshot
Machine Learning Algorithms for Financial Asset Price Forecasting
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.