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Stock Return Anomalies and the Tests of the APT

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  • Gultekin, Mustafa N
  • Gultekin, N Bulent

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  • Gultekin, Mustafa N & Gultekin, N Bulent, 1987. "Stock Return Anomalies and the Tests of the APT," Journal of Finance, American Finance Association, vol. 42(5), pages 1213-1224, December.
    • Handle: RePEc:bla:jfinan:v:42:y:1987:i:5:p:1213-24
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    Cited by:

    1. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    2. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
    3. Gordon Tang, 1998. "The intertemporal stability of the covariance and correlation matrices of Hong Kong stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 359-365.
    4. Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
    5. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
    6. Uluyol, Burhan & Hui Pu, Suan & Shaturaev, Jakhongir & Kanaparan, Geetha, 2023. "Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies," MPRA Paper 119039, University Library of Munich, Germany, revised 05 Oct 2023.
    7. Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
    8. Partha Gangopadhyay, 1994. "Risk-Return Seasonality And Macroeconomic Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 347-361, September.
    9. Martikainen, Teppo & Perttunen, Jukka & Yli-Olli, Paavo & Gunasekaran, A., 1996. "On the impact of infrequent trading on the APT systematic risk components -- Evidence from a thin security market," European Journal of Operational Research, Elsevier, vol. 88(1), pages 23-27, January.
    10. Deari Fitim & Ulu Yasemin, 2023. "The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(3), pages 86-100, September.
    11. Huang, Roger D. & Jo, Hoje, 1995. "Data frequency and the number of factors in stock returns," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 987-1003, September.
    12. Chunchi Wu, 1991. "A Certainty Equivalent Approach To Municipal Bond Default Risk Estimation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 241-247, September.
    13. Vicent AragO-Manzana & M Angeles Fernandezizquierdo, 2003. "Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 129-133.
    14. Magnus Dahlquist & Peter Sellin, 1996. "Stochastic dominance, tax-loss selling and seasonalities in Sweden," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 1-19.
    15. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).

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