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The covariance-factor structure of daily returns in a thinly traded stock market

✍ Scribed by J-P. Kallunki; T. Martikainen

Book ID
114340075
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
924 KB
Volume
7
Category
Article
ISSN
1042-444X

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πŸ“œ SIMILAR VOLUMES

Handling missing prices in a thinly trad
Handling missing prices in a thinly traded stock market: implications for the specification of event study methods
✍ Juha-Pekka Kallunki πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 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