Concepedia

The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors' Trading Activities

Jorge Brusa, Pu Liu

Review of Quantitative Finance and Accounting · 2004 · 33 citations · 16 references

DOI

Concepts

References

16

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

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 16.8K citations

, , +13

Market Liquidity and Trading Activity

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · The Journal of Finance · 2001 · 1.5K citations

, , +14

The Weekend Effect: Trading Patterns of Individual and Institutional Investors

Josef Lakonishok, Edwin D. Maberly · The Journal of Finance · 1990 · 484 citations

, , +12

Turn-of-month and pre-holiday effects on stock returns: Some international evidence

Charles Bram Cadsby, Mitchell Ratner · Journal of Banking & Finance · 1992 · 318 citations

, , +7

Turn‐of‐Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects

Joseph P. Ogden · The Journal of Finance · 1990 · 246 citations

, , +15