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Journal of Finance
1990: "The Weekend Effect: Trading Patterns of Individual and Institutional Investors," The Journal of Finance, 45(1), pp. 231-243. Co-authored with Joseph Lakonishok.
1988: "Friday the Thirteenth: The Anomaly That Isn't There: A Comment," The Journal of Finance, pp. 1285-1286. Co-authored with Edward Dyl.
1986: "The Weekly Pattern in Stock Index Futures: A Further Note," The Journal of Finance, pp. 1149-1152. Co-authored with Edward Dyl.
Journal of Financial and Quantitative Analysis
1992: ”Trading by Individual Investors at the Turn of the Year and the January Effect," Journal of Financial and QuantitativeAnalysis, pp. 591-604. Co-authored with Edward Dyl.
Journal of the American Taxation Association
1994: "Additional Evidence of Tax Motivated Trading by Individual Investors Around the Turn of the Year, 1962-87," Journal of the American Taxation Association, pp. 122-137. Co-authored with Paul Koogler.
Journal of Banking and Finance
1995: "The Information Content of End-of-the-Day Index Futures Returns: International Evidence from the Osaka Nikkei 225 Futures Contract," Journal of Banking and Finance, pp. 921-936. Co-authored with Takato Hiraki and Nobuya Takezawa.
Financial Analysts Journal
1996: "Eureka! Eureka! Discovery of the Monday Effect Belongs to the Ancient Scribes," Financial Analysts Journal, September/ October, pp. 9-10.
1988: "A Possible Explanation of the Weekend Anomaly," Financial Analysts Journal, pp. 83-84. Co-authored with Edward Dyl.
1987: "Shoes and Ships and Sealing Wax, Cabbages and Kings: Now Tailed-Wagged Dogs and Stock Index Futures," Financial Analysts Journal, pp. 73-75. Co-authored with Anthony Herbst.
1989: "Stock Index Futures and Cash Market Volatility," Financial Analysts Journal, pp. 271-272. Co-authored with David Allen and Roy Gilbert.
1992: "The Forecasting Accuracy of January Returns: Spurious Correlation or Anomalous Behavior?" Financial Management, pp. 8-9. Co-authored with Raylene M. Pierce. [non-refereed].
Journal of Financial Research
1992: "Early Exercise of American Index Options," Journal of Financial Research, pp. 127-137. Co-authored with Dan French.
Journal of Futures Markets
1992: "The Informational Role of End-of-the-Day Returns in Stock Index Futures," Journal of Futures Markets, pp. 595-601. Co-authored with Anthony Herbst.
1991: "The January Effect, Arbitrage Opportunities and Derivative Securities, Has Anything Changed?" Journal of Futures Markets, pp. 253-257. Co-authored with Brian Maris.
1991: "An Alternative Methodology for Measuring Expiration Day Price Effects at Friday's Close: The Expected Price Reversal," Journal of Futures Markets, pp. 751-754. Co-authored with Anthony Herbst.
1990: "Stock Index Futures, Expiration Day Volatility and the 'Special' Friday Opening-A Note," Journal of Futures Markets, pp. 323-325. Co-authored with Anthony Herbst.
1989: "The Daily Effect in the Gold Market: A Reply," Journal of Futures Markets, pp. 175-177. Co-authored with K. C. Ma and W. Wong.
1988: "A Further Investigation on the Day-of-the-Week Effect in the Gold Market: A Comment," Journal of Futures Markets, pp. 389-390. Co-authored with Anthony Herbst.
1988: "The Other Friday 'Bull' Effect: A Chance Occurrence or the Harbinger of Yet Another Anomaly: A Note," Journal of Futures Markets, pp. 723-724. Single Authored.
1987: "An Analysis of Trading and Non-Trading Period Returns for the Value Line Composite Index: Spot versus Futures: A Note," Journal ofFutures Markets, pp. 497-500. Single authored.
1986: "The Information Content of the Intraday Price Change with Respect to Stock Index Futures," Journal of Futures Markets, pp. 385-395. Single authored.
1985: "Testing Futures Market Efficiency-A Restatement," Journal of Futures Markets, pp. 425 432. Single authored
1982: "The Delivery Period and Daily Price Limits-A Comment," Journal of Futures Markets, p. 265. Single authored.
Pacific-Basin Finance Journal
1998: "Price and Volatility Effects on Japanese Stock Prices Associated with the Introduction of Nikkei 225 Index Futures," Pacific-Basin Finance Journal, pp. 493-506. Co-authored with Takato Hiraki and Paul Taube.
1995: "Are Preholiday Returns in Tokyo Really Anomalous? If So, Why?" Pacific-Basin Finance Journal, pp. 93-111. Co-authored with Takato Hiraki.
1994: "Day-of-the-Week Mean Spillover Effects Between New York and Tokyo: January 1976-August 1992: A Note," Pacific-Basin Finance Journal, pp. 61-71. Co-authored with Takato Hiraki.
Journal of Business Research
2000: “The Pattern of Intraday Portfolio Management Decisions: A Case Study of Intraday Security Return Patterns,” Journal of Business Research, Vol. LX, pp. 321-326. Co-authored with Stanley Block and Dan French.
Quarterly Journal of Business and Economics
1988: "An Analysis of Daily Patterns in Stock Returns Across Indices: Spot versus Futures," Quarterly Journal of Business and Economics, pp. 55-67. Co-authored with Anthony Herbst and Ron Spahr.
Asia-Pacific Financial Markets
2003: “The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly.” Asia-Pacific Financial Markets, Vol. 10, pp. 319-334. Co-authored with Raylene M. Pierce.
1994: "The Impact of Saturday Trading on Stock Returns: Evidence from the Tokyo Stock Exchange: January 1976-January 1989," Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets) pp. 67-80. Co-authored with Takato Hiraki and Paul Taube.
International Financial Review
2003: “An Analysis of Japanese Return Dynamics Conditional on United States Monday Holiday Closures.” International Finance Review, Vol. IV, pp. 233-249. Co-authored with Takato Hiraki.
Econ Journal Watch
2004: “Stock Market Efficiency Withstands another Challenge: Solving the ‘Sell in May/Buy after Halloween’ Puzzle.” Econ Journal Watch, Vol. 1, no. 1, pp. 29-46. Co-authored with Raylene M. Pierce.
Applied Mathematics Letters
2004: “An Alternative Approach to Understanding Second-Order Conditions for Constrained Optimization—Lagrange Multipliers.” Applied Mathematics Letters, Vol. 17, pp. 1397-1401. Co-authored with Raylene M. Pierce.
Recent Developments in International Banking and Finance
1989: "Sovereign Debt: Historical Perspectives as Portent for Today," Recent Developments in International Banking and Finance, pp. 45-67. Co-authored with Anthony Herbst and Hans Siebert.
Practical Financial Economics
2003: “A Critique of the Monday Effect: Beware of Mechanical Trading Rules Derived from Empirical Finance in Financial Economics.” Practical Financial Economics: A New Science (Praeger Publishers), pp. 155-176. Co-authored with Raylene M. Pierce.
MTEC Journal
1991: "Some Explanations for the Holiday Effect on the Tokyo Stock Exchange: Theoretical and Empirical Investigation," MTEC Journal, pp. 7-24. (Published in Japanese) Co-authored with Takato Hiraki.
Working Papers on SSRN
2007: “Citation Patterns Within the Leading Top-Tier Finance Journal: Implications for Journal Rankings and Other Issues,” co-authored with Raylene Pierce.
2005: “the Official Closing versus Last Trade Price for Nasdaq Stocks: Implications for Empirical Research and Automatic Equity Option Exercise, “ co-authored with Patrick Cantania.
2000: “Closing the Question on the Continuation of Turn-of-the-Month Effects: Evidence from the S&P 500 Index Futures Contract,” co-authored with Daniel F. Waggoner.
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