Hawawini, Gabriel and Cohen, Kalman and Maier, Steven and Schwartz, Robert and Whitcomb, David (1980): Implications of microstructure theory for empirical research in stock price behavior. Published in: Journal of Finance , Vol. 35, No. May 1980 (1980): pp. 249-257.
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This paper examines the implications of microstructure theory for empirical research on stock price behavior
|Item Type:||MPRA Paper|
|Original Title:||Implications of microstructure theory for empirical research in stock price behavior|
|Keywords:||Microstructure theory; empirical research on stock price behavior|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
|Depositing User:||Gabriel Hawawini|
|Date Deposited:||09. Oct 2011 03:28|
|Last Modified:||13. Feb 2013 06:19|
Amihud, Y. and H. Mendelson "Dealership market: Market-making with inventory", J. of Finance, Dec. 1974.
Cohen, K., S. Maier, R. Schwartz and D. Whitcomb "The returns generating process, returns variance, and the effect of thinness in securities markets", J. of Finance, June 1978.
Dimson, E. "Risk measurement when shares are subject to infrequent trading", J. of Financial Economics, June 1979.