IMPLICATIONS OF MICROSTRUCTURE THEORY FOR EMPIRICAL-RESEARCH ON STOCK-PRICE BEHAVIOR

被引:59
作者
COHEN, KJ
HAWAWINI, GA
MAIER, SF
SCHWARTZ, RA
WHITCOMB, DK
机构
[1] CUNY BERNARD M BARUCH COLL,NEW YORK,NY 10010
[2] NYU,GRAD SCH BUSINESS ADM,NEW YORK,NY 10003
[3] RUTGERS STATE UNIV,GRAD SCH BUSINESS ADM,NEW BRUNSWICK,NJ 08903
关键词
D O I
10.2307/2327381
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:249 / 257
页数:9
相关论文
共 30 条
[11]   RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].
DIMSON, E .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226
[12]   EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK [J].
FAMA, EF .
JOURNAL OF FINANCE, 1970, 25 (02) :383-423
[13]   SOME NEW STOCK-MARKET INDEXES [J].
FISHER, L .
JOURNAL OF BUSINESS, 1966, 39 (01) :191-&
[14]  
FRANCIS J, 1975, J FINANCIAL QUANTITA, V9, P205
[15]  
GARMAN M, 1976, J FINANC ECON, V3, P33
[16]  
GOLDMAN MB, 1979, J FINANC ECON, V7, P29
[17]   MARKET PRICES VS EQUILIBRIUM PRICES - RETURNS VARIANCE, SERIAL-CORRELATION, AND THE ROLE OF THE SPECIALIST [J].
GOLDMAN, MB ;
BEJA, A .
JOURNAL OF FINANCE, 1979, 34 (03) :595-607
[18]  
HAWAWINI G, 1980, J FINANCIAL QUANTITA, V14
[19]   NOTE ON TEMPORAL AGGREGATION AND SERIAL-CORRELATION [J].
HAWAWINI, GA .
ECONOMICS LETTERS, 1978, 1 (03) :237-242
[20]  
HAWAWINI GA, 1977, THESIS NEW YORK U