Handling missing prices in a thinly trad
โ
Juha-Pekka Kallunki
๐
Article
๐
1997
๐
Elsevier Science
๐
English
โ 856 KB
This paper employs a simulation approach to provide new evidence on how thin trading affects the specification of the event study methods in a thinly traded environment. We examine the properties of the returns computed with alternative procedures for handling missing prices as well as their impact