ON THE VARIANCE OF STOCK-PRICE DISTRIBUTIONS

被引：4

作者：

BRAGLIA, M

机构：

[1] Politecnico di Milano, Milan

来源：

ECONOMICS LETTERS | 1990年 / 33卷 / 02期

关键词：

D O I：

10.1016/0165-1765(90)90164-V

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A stochastic approach is used to describe the temporal behaviour of stock prices. It is shown that standard techniques are unable to give the correct variance of the stock price distribution if the trend of variation is price dependent. © 1990.

引用

页码：171 / 173

页数：3

共 50 条

[1] STOCK-PRICE EFFECTS AND COSTS OF SECONDARY DISTRIBUTIONS
MIKKELSON, WH
PARTCH, MM
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (02) : 165 - 194
[2] VARIANCE BOUNDS TESTS AND STOCK-PRICE VALUATION MODELS
KLEIDON, AW
[J]. JOURNAL OF POLITICAL ECONOMY, 1986, 94 (05) : 953 - 1001
[3] STOCK-PRICE DISTRIBUTIONS WITH STOCHASTIC VOLATILITY - AN ANALYTIC APPROACH
STEIN, EM
STEIN, JC
[J]. REVIEW OF FINANCIAL STUDIES, 1991, 4 (04): : 727 - 752
[4] STOCK-PRICE MANIPULATION
ALLEN, F
GALE, D
[J]. REVIEW OF FINANCIAL STUDIES, 1992, 5 (03): : 503 - 529
[5] ESTIMATION OF BANK STOCK-PRICE PARAMETERS AND THE VARIANCE-COMPONENTS MODEL
KARATHANASSIS, G
PHILIPPAS, N
[J]. APPLIED ECONOMICS, 1988, 20 (04) : 497 - 507
[6] A THEORY OF STOCK-PRICE BEHAVIOR
CLARKSON, GPE
[J]. IMR-INDUSTRIAL MANAGEMENT REVIEW, 1965, 6 (02): : 93 - 103
[7] STOCK-PRICE CLUSTERING AND DISCRETENESS
HARRIS, L
[J]. REVIEW OF FINANCIAL STUDIES, 1991, 4 (03): : 389 - 415
[8] STOCK SPLITS AND IMPLIED STOCK-PRICE VOLATILITY
FRENCH, DW
DUBOFSKY, DA
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1986, 12 (04): : 55 - 59
[9] THE REVERSAL OF LARGE STOCK-PRICE DECREASES
BREMER, M
SWEENEY, RJ
[J]. JOURNAL OF FINANCE, 1991, 46 (02): : 747 - 754
[10] STOCK-PRICE AND OPTIMUM RESEARCH SPENDING
GILMAN, JJ
[J]. RESEARCH MANAGEMENT, 1978, 21 (01): : 34 - 36

← 1 2 3 4 5 →