NONSTATIONARY EXPECTED RETURNS - IMPLICATIONS FOR TESTS OF MARKET-EFFICIENCY AND SERIAL-CORRELATION IN RETURNS

被引：163

|

作者：

BALL, R

KOTHARI, SP

机构：

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1989年 / 25卷 / 01期

关键词：

D O I：

10.1016/0304-405X(89)90096-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：51 / 74

页数：24

相关论文

共 50 条

[1] TRADING VOLUME AND SERIAL-CORRELATION IN STOCK RETURNS
CAMPBELL, JY
GROSSMAN, SJ
WANG, J
QUARTERLY JOURNAL OF ECONOMICS, 1993, 108 (04): : 905 - 939
[2] A UNIFIED APPROACH TO TESTING FOR SERIAL-CORRELATION IN STOCK RETURNS
RICHARDSON, M
SMITH, T
JOURNAL OF BUSINESS, 1994, 67 (03): : 371 - 399
[3] MARKET PRICES VS EQUILIBRIUM PRICES - RETURNS VARIANCE, SERIAL-CORRELATION, AND THE ROLE OF THE SPECIALIST
GOLDMAN, MB
BEJA, A
JOURNAL OF FINANCE, 1979, 34 (03): : 595 - 607
[4] A REEXAMINATION OF MARKET RETURNS, DISCOUNT RATE CHANGES, AND MARKET-EFFICIENCY
MAY, DO
JOURNAL OF MACROECONOMICS, 1992, 14 (03) : 545 - 553
[5] ASSET RETURNS, DISCOUNT RATE CHANGES, AND MARKET-EFFICIENCY
SMIRLOCK, M
YAWITZ, J
JOURNAL OF FINANCE, 1985, 40 (04): : 1141 - 1158
[6] FACTOR-RELATED AND SPECIFIC RETURNS OF COMMON-STOCKS - SERIAL-CORRELATION AND MARKET INEFFICIENCY
ROSENBERG, B
RUDD, A
JOURNAL OF FINANCE, 1982, 37 (02): : 543 - 554
[7] A NOTE ON QUARTERLY RETURNS TO INVESTMENT IN ORDINARY SHARES, 1919-1970 - 2 TESTS OF MARKET-EFFICIENCY
PRAETZ, P
ECONOMICA, 1985, 52 (207) : 379 - 381
[8] Expected returns and risk in the stock market
Brennan, M. J.
Taylor, Alex P.
JOURNAL OF EMPIRICAL FINANCE, 2023, 72 : 276 - 300
[9] ROBUSTNESS OF 2 TESTS FOR SERIAL-CORRELATION
GASTWRITH, JL
SELWYN, MR
BIOMETRICS, 1977, 33 (03) : 579 - 579
[10] ROBUSTNESS PROPERTY OF TESTS FOR SERIAL-CORRELATION
KARIYA, T
ANNALS OF STATISTICS, 1977, 5 (06): : 1212 - 1220

← 1 2 3 4 5 →