NON-REPRESENTATIVE TRADING FREQUENCIES AND THE DETECTION OF ABNORMAL PERFORMANCE

被引：2

作者：

ATCHISON, MD

机构：

来源：

JOURNAL OF FINANCIAL RESEARCH | 1986年 / 9卷 / 04期

关键词：

D O I：

10.1111/j.1475-6803.1986.tb00467.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：343 / 348

页数：6

相关论文

共 8 条

[1] USING DAILY STOCK RETURNS - THE CASE OF EVENT STUDIES [J].

BROWN, SJ ;

WARNER, JB .

JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (01) :3-31

[2]

BROWN SJ, 1980, J FINANCIAL EC, V8, P105

[3] RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].

DIMSON, E .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226

[4] RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING - COMMENT [J].

FOWLER, DJ ;

RORKE, CH .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (02) :279-283

[5] INTERTEMPORAL CAPITAL ASSET PRICING MODEL [J].

MERTON, RC .

ECONOMETRICA, 1973, 41 (05) :867-887

[6] OPTIMUM CONSUMPTION AND PORTFOLIO RULES IN A CONTINUOUS-TIME MODEL [J].

MERTON, RC .

JOURNAL OF ECONOMIC THEORY, 1971, 3 (04) :373-413

[7] ESTIMATING BETAS FROM NONSYNCHRONOUS DATA [J].

SCHOLES, M ;

WILLIAMS, J .

JOURNAL OF FINANCIAL ECONOMICS, 1977, 5 (03) :309-327

[8]

SCHOLES M, 1976, UNPUB ESTIMATING BET