Erasmus universiteit rotterdam erasmus school of economics



Dovnload 0.63 Mb.
Pagina7/7
Datum26.08.2016
Grootte0.63 Mb.
1   2   3   4   5   6   7

Literatuurlijst

Abraham, A. en D.L. Ikenberry (1994), The individual investor and the weekend effect,



Journal of Financial and Quantitative Analysis 29, 263–277.
Agrawal, A. en K. Tandon (1994), Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries, Journal of International Money and Finance 13, 83-106.
Brusa, J., P. Liu en C. Schulman (2000), The Weekend Effect, ‘‘Reverse’’

Weekend Effect, and Firm Size, Journal of Business Finance & Accounting 27, 555–74.


Brusa, J., P. Liu en C. Schulman (2003), The Weekend and ‘‘Reverse’’ Weekend Effects:

An Analysis by Month of the Year, Week of the Month, and Industry, Journal of Business Finance & Accounting 30, 863–90.


Brusa, J., P. Liu en C. Schulman (2003), The “reverse” weekend effect: the U.S. market versus international markets, International Review of Financial Analysis 12, 267-286.
Chen, H. en V. Singal, (2003), Role of Speculative Short Sales in Price Formation: Case of the

Weekend Effect, Journal of Finance 58, 685-705.


Chan, S., W. Leung en K. Wang (2004), The Impact of Institutional Investors on the Monday

Seasonal, Journal of Business 77, 967-986.


Chang, E, M. Pinegar en R. Ravichandran (1993), International evidence on the robustness of the day-of-the-week effect, Journal of Financial and Quantitative Analysis 28, 497–513.
Connolly, R. (1989), An Examination of the Robustness of the Weekend Effect, Journal of

Financial and Quantitative Analysis 24, 133-170.
Cross, F. (1973), The behavior of stock prices on Fridays and Mondays, Financial Analysts Journal 29, 67–69.
Damodaran, A. (1989), The Weekend Effect in Information Releases: A Study of Earnings and

Dividend Announcements, Review of Financial Studies 2, 607-623.


Dyl, E.A. en S.A. Martin, (1985), Weekend effects on stock returns: A comment, Journal of Finance 40, 347-350.
Fabozzi, F.J. en S. Clifford (2004), Short selling: strategies, risks and rewards.
French, K. R. (1980), Stock returns and the weekend effect, Journal of Financial Economics 8, 55-70.
Gibbons, M.R. en P. Hess (1981), Day of the week effects and asset returns, Journal of Business 54, 579-596.
Hindmarch, S., D. Jentsch en D. Drew (1984), A Note on Canadian Stock Returns and the

Weekend Effect,Journal of Business Administration 14, 163-172.


Jaffe, J en R. Westerfield (1985), The Weekend Effect in Common Stock Returns: The

International Evidence, Journal of Finance 40, 433-454.


Jaffe, J. F., R. Westerfield en C. Ma (1989). A twist on the Monday effect in stock prices:

Evidence from the U.S. and foreign stock markets, Journal of Banking and Finance 13,

641–650.
Kamara, A. (1997), New evidence on the Monday seasonal in stock returns, Journal of

Business 70, 63–84.
Kelly, F. (1930), Why You Win or Lose: The Psychology of Speculation.
Liano, K. en J. Lindley (1995), An analysis of the weekend effect within the monthly effect, Review of Quantitative Finance and Accounting 5, 419–426.
Lakonishok, J. en M. Levi (1982), Weekend effects on stock returns: A note, Journal of Finance 37, 883-889.
Lakonishok, J. en E. Maberly (1990), The weekend effect: Trading patterns of individual

and institutional investors, Journal of Finance 40, 231–243.


Marquering, W., Nisser, J. en T. Valla (2006), Disappearing anomalies: a dynamic analysis of the persistence of anomalies, Applied Financial Economics 16, 291-302.
Mehdian, S. en M.J. Perry (2001), The Reversal of the Monday Effect: New Evidence from US Equity Markets, Journal of Business Finance & Accounting 28, 1043-1065
Penman, S.H. (1987), The Distribution of Earnings News Over Time and Seasonalities in Aggregate Stock Returns, Journal of Financial Economics 18, 199-228.
Rogalski, R. (1984), New Findings Regarding Day-of-the-Week Returns over Trading and

Non-Trading Periods: A Note, Journal of Finance 39, 1603-1614.


Wang, K., Y. Li en J. Erickson (1997), A new look at the Monday effect, Journal of Finance 52, 2171–2186.

Appendix A




ALL SHARE

LARGE CAP

SMALL CAP

Naam index

Vanaf

Naam index

Vanaf

Naam index

Vanaf

Australië

FTSE W AUSTRALIA

01/01/1987

ASX

01/01/1980

S&P AUSTRALIA :S

06/30/1989

Canada

S&P/TSX COMPOSITE

01/01/1969

S&P/TSX 60

01/29/1982

S&P CANADA :S

06/30/1989

Duitsland

CDAX GENERAL

01/01/1973

DAX 30

12/31/1964

S&P GERMANY :S

06/30/1989

Finland

OMX HELSINKI

01/02/1987

OMX HELSINKI 25

05/03/1988

S&P FINLAND :S

06/30/1989

Frankrijk

FTSE W FRANCE

01/01/1987

CAC 40

07/09/1987

S&P FRANCE :S

06/30/1989

Griekenland

ATHEX COMPOSITE

09/30/1988




 




 

Hong Kong




 

HANG SENG

11/24/1969

S&P HONG KONG :S

06/30/1989

Italië







FTSE ITALIA MIB STORICO

01/02/1975

S&P ITALY :S

06/30/1989

Japan

TOPIX

01/01/1960

NIKKEI 225

01/01/1960

RUSSELL NOMURA SMALL CAP

01/03/1983

Mexico

FTSE W MEXICO

01/01/1987

BOLSA

01/04/1988




 

Nederland

FTSE W NETHERLANDS

01/01/1987

AEX

01/01/1973

S&P NETHERLANDS :S

06/30/1989

Noorwegen

FTSE W NORWAY

01/01/1987

OSLO SE OBX

01/02/1987

S&P NORWAY :S

06/30/1989

Spanje

FTSE W SPAIN

01/01/1987

IBEX 35

01/05/1987

S&P SPAIN :S

06/30/1989

VK

FTSE ALL SHARE

12/25/1968

FTSE 100

01/02/1984

FTSE SMALL CAP

01/01/1986

VS

RUSSELL 2000

01/04/1988

S&P 500

12/31/1963

S&P 600 SMALL CAP

01/03/1973

Een overzicht met gebruikte indices en de begindatum ervan.




1   2   3   4   5   6   7


De database wordt beschermd door het auteursrecht ©opleid.info 2019
stuur bericht

    Hoofdpagina