Institutional trading and the turn-of-the-year effect
Article Abstract:
The turn-of-the-year or January effect is a phenomenon that refers to the unusual large returns exhibited by small stocks in the beginning days of January. The direct relation between institutional trading behavior in the United States equity market and anomalous turn-of-the-year return patterns of small stocks is examined. The empirical results of the study on this relation utilizing data from CDA Investment Technologies, Inc. and the Center for Research in Security Prices are presented.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2004
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The conditional CAPM does not explain asset-pricing anomalies
Article Abstract:
The feasibility of capital asset pricing model in explaining the irregularities related to pricing of assets is analyzed.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2006
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