Volume and turn-of-the-year behavior

Lakonishok, Josef; Smidt, Seymour

doi:10.1016/0304-405x(84)90008-4

Cited by 140 publications

(64 citation statements)

References 37 publications

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“…In most cases, trading volume for the class with the larger market value is substantially larger than for the other class. This finding is also consistent with previous studies such as Lakonishok and Smidt (1984).…”

Section: Datasupporting

confidence: 95%

Dual Class Shares: Are There Returns Differences?

Foerster

Porter

1993

Business Fin & Account

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We examine dual classes of shares with identical dividends and liquidation treatment, but with different voting rights. We extend previous dud class studies by examining bid‐ask adjusted prices and by examining returns after controlling for bid‐ask spread and market value differences between voting classes. We establish that voting right differences, although related to price differences between superior and restricted voting shares, do not impact on average returns behavior. These findings are consistent with previously forwarded voting premium hypotheses.

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Section: Datasupporting

confidence: 95%

Dual Class Shares: Are There Returns Differences?

Foerster

Porter

1993

Business Fin & Account

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“…These stock markets are relatively small and thin in trading volumes. 8 The findings seem to relate to the sizable returns that the small US firms received in January as reported by Roll (1983), Reinganum (1983), and Lakonishok and Smidt (1984). Regardless of the causes for the exceptionally large January returns in these aspects, the findings are noteworthy and may be of value to international investors.…”

Section: Monthly Seasonality In International Portfoliocontrasting

confidence: 44%

Strategic International Diversification and Monthly Seasonality

Ko¹

1998

Business Fin & Account

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To the author's knowledge no other studies have dealt with the effect of international diversification on stock market monthly seasonality. The aim of this study is to investigate this effect in various ways: stock market monthly seasonality is analyzed by incorporating exchange rates and trading costs in international portfolio returns. The variance of the world portfolio is decomposed into six components. Stochastic dominance approach is used to show the robustness of the results. Five trading strategies are compared to help international investors be more informed. All the results show that monthly seasonality is clearly present in an economic sense and robust. Particularly, when exchange rates are incorporated into portfolio returns. January has the highest return and the lowest risk in the world portfolio. Copyright Blackwell Publishers Ltd 1998.

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“…For instance, the renowned tax-loss-selling hypothesis suggested by Dyl (1977) has received support from Reinganum (1983), Roll (1983), Schultz (1985), Jones et al (1991) , and Eakins and Sewell (1993). However, Givoley and Ovadia (1983), Brown et al (1983), Lakonishok and Smidt (1984), Van den Bergh and Wessels (1985), and Reinganum and Shapiro (1987) express doubts about the hypothesis. The debate continues today.…”

Section: Introductionmentioning

confidence: 89%