SEASONALITY ESTIMATION IN THIN MARKETS

被引：39

作者：

THEOBALD, M ^{[1
]}

PRICE, V ^{[1
]}

机构：

[1] MANCHESTER BUSINESS SCH, MANCHESTER M15 6PB, LANCS, ENGLAND

来源：

JOURNAL OF FINANCE | 1984年 / 39卷 / 02期

关键词：

D O I：

10.2307/2327866

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：377 / 392

页数：16

共 21 条

[1] DEALERSHIP MARKET - MARKET-MAKING WITH INVENTORY [J].

AMIHUD, Y ;

MENDELSON, H .

JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :31-53

[2]

COHEN K, 1981, 8138 DUK U FUQ SCH B

[3] IMPLICATIONS OF MICROSTRUCTURE THEORY FOR EMPIRICAL-RESEARCH ON STOCK-PRICE BEHAVIOR [J].

COHEN, KJ ;

HAWAWINI, GA ;

MAIER, SF ;

SCHWARTZ, RA ;

WHITCOMB, DK .

JOURNAL OF FINANCE, 1980, 35 (02) :249-257

[4] MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL [J].

COPELAND, TE .

JOURNAL OF FINANCE, 1976, 31 (04) :1149-1168

[5]

Cross F., 1973, FINANCIAL ANAL J, V29, P67, DOI [10.2469/faj.v29.n6.67, DOI 10.2469/FAJ.V29.N6.67]

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

DIMSON, E .

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

[7]

FAMA E, 1965, J BUS, V28, P34

[8] SOME NEW STOCK-MARKET INDEXES [J].

FISHER, L .

JOURNAL OF BUSINESS, 1966, 39 (01) :191-&

[9] STOCK RETURNS AND THE WEEKEND EFFECT [J].

FRENCH, KR .

JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :55-69

[10] DAY OF THE WEEK EFFECTS AND ASSET RETURNS [J].

GIBBONS, MR ;

HESS, P .

JOURNAL OF BUSINESS, 1981, 54 (04) :579-596

← 1 2 3 →