• NEP-ALL-2003-04-13 (All new papers)
• NEP-ECM-2003-04-13 (Econometrics)
• NEP-FIN-2003-04-13 (Finance)

1. Khaksari, Shahriar & Bubnys, Edward L, 1992. "Risk-Adjusted Day-of-the-Week, Day-of-the-Month, and Month-of-the-Year Effects on Stock Indexes and Stock Index Futures," The Financial Review, Eastern Finance Association, vol. 27(4), pages 531-52, November.
2. Fazal Husain, 1998. "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 37(1), pages 77-81. [Downloadable!]
   Other versions:
   • Husain, Fazal, 1998. "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," MPRA Paper 5032, University Library of Munich, Germany. [Downloadable!]
3. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier. [Downloadable!] (restricted)
   Other versions:
   • G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
5. Merton, Robert C., 1985. "On the current state of the stock market rationality hypothesis," Working papers 1717-85., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
6. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics. [Downloadable!]
   Other versions:
   • Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889. [Downloadable!]
7. Jaffe, Jeffrey & Westerfield, Randolph, 1989. "Is there a monthly effect in stock market returns? : Evidence from foreign countries," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 237-244, May. [Downloadable!] (restricted)
8. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August. [Downloadable!] (restricted)
9. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
10. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
11. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 145-157, March. [Downloadable!]
12. West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October. [Downloadable!] (restricted)
    Other versions:
    • Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March. [Downloadable!] (restricted)
14. Wang, Ko & Li, Yuming & Erickson, John, 1997. " A New Look at the Monday Effect," Journal of Finance, American Finance Association, vol. 52(5), pages 2171-86, December. [Downloadable!] (restricted)
15. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February. [Downloadable!] (restricted)
16. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September. [Downloadable!] (restricted)
    Other versions:
    • Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA. [Downloadable!]
17. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October. [Downloadable!] (restricted)
18. Levis, Mario, 1989. "Stock market anomalies: A re-assessment based on the UK evidence," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 675-696, September. [Downloadable!] (restricted)
19. Aggarwal, Reena & Rivoli, Pietra, 1989. "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," The Financial Review, Eastern Finance Association, vol. 24(4), pages 541-50, November.
20. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
21. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    Other versions:
    • Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
22. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(4), pages 403-425. [Downloadable!] (restricted)
23. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December. [Downloadable!] (restricted)
24. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics. [Downloadable!]
25. Kato, Kiyoshi & Schallheim, James S., 1985. "Seasonal and Size Anomalies in the Japanese Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 243-260, June. [Downloadable!]
26. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 275-307, November. [Downloadable!] (restricted)
27. Goncalves, Silvia & de Jong, Robert, 2003. "Consistency of the stationary bootstrap under weak moment conditions," Economics Letters, Elsevier, vol. 81(2), pages 273-278, November. [Downloadable!] (restricted)

Cited by:
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1. Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor and Francis Journals, vol. 14(14), pages 1035-1043, October. [Downloadable!] (restricted)
2. John C. Frain, 2008. "Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices," Trinity Economics Papers tep0108, Trinity College Dublin, Department of Economics, revised May 2008. [Downloadable!]