La anomalía del tamaño en el mercado de capitales español

Références bibliographiques

• AGRAWAL, A., y K. TANDOM [1995]: «Stock Market Anomalies: The International Evidences», en Aggarwal R., y D. C. Schirm (ed.), Global Portfolio Diversification, Risk Management, Market Micro structure and Implementation Issues, Academic Press, San Diego.
• BANZ, R. [1981]: «The Relationship between Return and Market Value of Common Stock», Journal of Financial Economics, 9, pp. 3-18.
• BASARRATE, B., y G. RUBIO [1994]: «La imposición sobre plusvalías y minusvalías: sus efectos sobre el comportamiento estacional del mercado de valores», Revista Española de Ecoñomía, vol. 11, núm. 2, pp. 246-277.
• BERGES, A.; MCCONNELL, J., y G. SCHLARBAUM [1984]: «The Tum-of-the Year in Canada», Journal of Finance, vol. 39, núm. 1, marzo, pp. 185-92.
• BLACK, F.; JENSEN, M., y SCHOLES, M. [1972]: «The Capital Asset Pricing Model: Some Empirical Tests», en Jensen (ed.), Studies in the Theory of Capital Markets (New York: Praeger).
• BLUME, M.; y FRIEND, I. [1973]: «A New Look at the Capital Asset Pricing Model», Journal of Finance, 28, 1, marzo, pp. 19-33.
• BLUME, M.; y STAMBAUGH, R. [1983]: «Biases in Computed Returns: An Application to the Size Effect», Journal of Financial Economics, 12, noviembre, pp. 387-404.
• BROWN, P.; KEIM, D.; KLEIDON, A., y MARSH, T. [1983]: «Stock Return Seasonalities and the "Tax-Loss Selling" Hypothesis: Analysis of the Arguments and Australian Evidences», Journal of Financial Economics, vol. 12, pp. 105-127.
• COHEN, K.; HAWAWINI, G.; MAIER, S.; SCHWARTZ, R., y D. WHITCOMB [1983]: «Friction in the Trading Process and the Estimation of the Systematic Risk», Journal of Financial Economics, 12, agosto, pp. 263-27.8.
• FAMA, E., y MACBETH, J. [1973]: «Risk Return and Equilibrium: Empirical Tests», Journal of Political Economy, 71, mayo-junio, pp. 607-636.
• FRENCH, K. [1980]: «Stock Returns and the Weekend Effect», Journal of Financial Economics, 8, pp. 55-69.
• GÓMEZ, J., y MARHUENDA, J. [1997]: The Size and January Anomalies in the Spanish Capital Market, Sixth Annual Conference of the European Financial Association, Estambul, June.
• GULTEKIN, M., y GULTEKIN, N. [1983]: «Stock Market Seasonality: International Evidence», Journal of Financial Economics, vol. 12, núm. 4, diciembre, pp. 469-481.
• HAMON, J. [1986]: «The seasonal character of monthly returns on the Paris Bourse», Finance, 7, pp, 57-74.
• HAUGEN, R., y LAKONISHOK, J. [1988]: The Incredible January Effect: The Stock Market's Unsolved Mystery, Dow Jones-Irwin, Homewood, Illinois.
• JONES, S.; LEE, W., y APENBRINK, R. [1991]: «Nevv Evidence on the January Effect before Personal Income Taxes», Journal of Finance, vol. 46, núm. 5, diciembre, pp. 1909-1924.
• KATO, K., y SCHALHEIM, J. [1985]: «Seasonal and Size Anomalies in the Japanese Stock Market», Journal of Financial and Quantitative Analysis, vol. 20, núm. 2, junio, pp. 243-260.
• KEIM, D. [1983]: «Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidences, Journal of Financial Economics, 12, marzo, pp. 13-32.
• LAKONISHOK, J., y S. SMIDT [1988]: Are seasonal anomalies real ? A ninety year perspective. Review of Financial Studies, 1, pp. 403-445.
• PEIRO, A. [1993]: «Movimientos estacionales en el mercado de acciones español», Instituto Valenciano de Investigaciones Económicas, WP-EC 93-10.
• REINGANUM, M. [1981]: «Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earning's Yields and Market Value», Journal of Financial Economics, 9, marzo, 19-46.
• [1982]: «A Direct Test of Roll's Conjecture on the Firm Size Effect», Journal of Finance, vol. 37, núm. 1, marzo, pp. 27-35.
• [1983]: «The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-Loss Selling Effects», Journal of Financial Economics, 12, junio, pp. 89-104.
• REINGANUM, M., y SHAPIRO, A. [1987]: «Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange», Journal of Business, vol. 60, núm. 2, pp. 281-295.
• RITTER, J. [1988]: «The Buying and Selling Behavior of Individual Investors at the Turn of the Year», Journal of Finance, vol. 43, núm. 3, julio, pp. 701-717.
• RITTER, J., y N. CHOPRA [1989]: «Portfolio Rebalancing and the turn of the year effect, Journal of Finance, 44 (1), pp. 149-166.
• ROCK, K. [1990]: «The Specialist's Order Book: A Possible Explanation for the Year-End. Anomaly», Working Paper, Harvard University, Cambridge.
• ROLL, R. [1981]: «A Possible Explanation of the Small Firm Effect», Journal of Finance, vol. 36, núm. 4, septiembre, pp. 879-888.
• [1983]: «Vas Its Das? The Turn of the Year Effect and the Return Premia of Small Firms», Journal of Portfolio Management', 9, invierno, pp. 18-28.
• ROSEMBERG, B.; REID, K., y R. LANSTEIN [1985]: «Persuasive evidence of market inefficiency», Journal of Portfolio Management, 11 (3), pp. 9-17.
• ROZEFF, M., y KINNEY, W. [1976]: «Capital Market Seasonality: The Case of Stock Returns», Journal of Financial Economics, 3, pp. 379-402.
• RUBIO, G. [1986a]: «Size, Liquidity and Valuation», Southern European Economics Discussion Series (SEEDS).
• [1986b]: «Los efectos de la contratación poco frecuente: tamaño y valoración», Boletín de Estudios Económicos, vol. 41, núm. 128.
• [1988]: «Further International Evidence on Asset Pricing: The Case of the Spanish Capital Market», Journal of Banking and Finance, 12, pp. 221-242.
• SCHOLES, M., y WILLIAMS, J. [1977]: «Estimating Betas from Synchronous Data», Journal of Financial Economics, 5, pp. 309-327.
• SCHULTZ, P. [1985]: «Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note», Journal of Finance, vol. 40, núm. 1, marzo, pp. 333-343.
• SENTANA, E. [1994]: «Riesgo y rentabilidad en el mercado de valores español», VII Simposio de Moneda y Crédito.
• TINIC, S.; BARONE-ADESI, G., y WEST, R. [1987]: «Seasonality in Canadian Stock Prices: A Test of the Tax-Loss-Selling Hypothesis», Journal of Financial and Quantitative Analysis, vol. 22, núm. 1, marzo, pp. 51-63.