The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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The Week‐End Effect in Common Stock Returns: The International Evidence
Published: 06/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04966.x
JEFFREY JAFFE, RANDOLPH WESTERFIELD
This paper examines the daily stock market returns for four foreign countries. We find a so‐called “week‐end effect” in each country. In addition, the lowest mean returns for the Japanese and Australian stock markets occur on Tuesday.
Earnings Yields, Market Values, and Stock Returns
Published: 03/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02408.x
JEFFREY JAFFE, DONALD B. KEIM, RANDOLPH WESTERFIELD
Earlier evidence concerning the relation between stock returns and the effects of size and earnings to price ratio (E/P) is not clear‐cut. This paper re‐examines these two effects with (a) a substantially longer sample period, 1951–1986, (b) data that are reasonably free of survivor biases, (c) both portfolio and seemingly unrelated regression tests, and (d) an emphasis on the important differences between January and other months. Over the entire period, the earnings yield effect is significant in both January and the other eleven months. Conversely, the size effect is significantly negative only in January. We also find evidence of consistently high returns for firms of all sizes with negative earnings.