Details about Edwin Darrell Maberly

Access statistics for papers by Edwin Darrell Maberly.

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Short-id: pma406

Working Papers

2000

1. An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
2. Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)

Journal Articles

2017

1. Informed Trading around Stock Split Announcements: Evidence from the Option Market
   Journal of Financial and Quantitative Analysis, 2017, 52, (2), 705-735 View citations (27)

2010

2. Threshold levels, strike price grid, and other market microstructure issues associated with exchange‐traded equity options
   Journal of Futures Markets, 2010, 30, (2), 188-201 View citations (1)

2004

3. Stock Market Efficiency Withstands Another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle
   Econ Journal Watch, 2004, 1, (1), 29-46 View citations (23)

2003

4. The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly
   Asia-Pacific Financial Markets, 2003, 10, (4), 319-334 View citations (12)

2000

5. The Pattern of Intraday Portfolio Management Decisions: A Case Study of Intraday Security Return Patterns
   Journal of Business Research, 2000, 50, (3), 321-326 View citations (10)

1995

6. Are preholiday returns in Tokyo really anomalous? If so, why?
   Pacific-Basin Finance Journal, 1995, 3, (1), 93-111 View citations (3)
7. Day-of-the-week mean spillover effects between New York and Tokyo: January 1976 to August 1992: A note
   Pacific-Basin Finance Journal, 1995, 3, (1), 138-139
   Also in Pacific-Basin Finance Journal, 1994, 2, (1), 61-71 (1994)

1992

8. EARLY EXERCISE OF AMERICAN INDEX OPTIONS
   Journal of Financial Research, 1992, 15, (2), 127-137 View citations (5)
9. Odd-Lot Transactions around the Turn of the Year and the January Effect
   Journal of Financial and Quantitative Analysis, 1992, 27, (4), 591-604 View citations (33)
10. The informational role of end‐of‐the‐day returns in stock index futures
    Journal of Futures Markets, 1992, 12, (5), 595-601 View citations (1)

1991

11. An alternative methodology for measuring expiration day price effects at Friday's close: The expected price reversal—A note
    Journal of Futures Markets, 1991, 11, (6), 751-754 View citations (1)
12. The January effect, arbitrage opportunities, and derivative securities: Has anything changed?
    Journal of Futures Markets, 1991, 11, (2), 253-257 View citations (2)

1990

13. Stock index futures, expiration day volatility, and the “special” friday opening: A note
    Journal of Futures Markets, 1990, 10, (3), 323-325 View citations (10)
14. The Weekend Effect: Trading Patterns of Individual and Institutional Investors
    Journal of Finance, 1990, 45, (1), 231-43 View citations (181)

1989

15. The daily effect in the gold market: A reply
    Journal of Futures Markets, 1989, 9, (2), 175-177 View citations (2)
16. The relationship between stock indices and stock index futures from 3:00–3:15: A note
    Journal of Futures Markets, 1989, 9, (3), 271-272 View citations (2)

1988

17. A further investigation of the day‐of‐the‐week effect in the gold market: A comment
    Journal of Futures Markets, 1988, 8, (3), 389-390 View citations (2)
18. The other friday “bull” effect: A chance occurrence or the harbinger of yet another puzzling anomaly? a note!
    Journal of Futures Markets, 1988, 8, (6), 723-724 View citations (1)

1987

19. An analysis of trading and nontrading period returns for the value line composite index; spot versus futures: A note
    Journal of Futures Markets, 1987, 7, (5), 497-500 View citations (1)

1986

20. The Weekly Pattern in Stock Index Futures: A Further Note
    Journal of Finance, 1986, 41, (5), 1149-52 View citations (16)
21. The daily distribution of changes in the price of stock index futures
    Journal of Futures Markets, 1986, 6, (4), 513-521 View citations (3)

1985

22. Testing futures market efficiency—A restatement
    Journal of Futures Markets, 1985, 5, (3), 425-432 View citations (7)

1982

23. The delivery period and daily price limits: A comment
    Journal of Futures Markets, 1982, 2, (1), 105-105