haku: @author Kraus, A. / yhteensä: 11
viite: 5 / 11
| Tekijä: | Heinkel, R. Kraus, A. |
| Otsikko: | Measuring event impacts in thinly traded stocks. |
| Lehti: | Journal of Financial and Quantitative Analysis
1988 : MAR, VOL. 23:1, p. 71-88 |
| Asiasana: | STOCK MARKETS SHARE PRICES |
| Kieli: | eng |
| Tiivistelmä: | The design of simple procedures to cope with the effects of thin trading on event study tests, related to missing individual stock returns and the impact of bid-ask spread on the time series behaviour of daily stock return data. Procedure for estimating missing returns, estimating the systematic component of unobserved returns, estimating the idiosyncratic component of unobserved returns, estimating the variance of true abnormal returns, missing prices, nonsynchronous closing prices, the bid-ask spread, relating estimated and true abnormal returns, variances of a weighted average of cumulative abnormal returns. Sample of insider transactions on the Vancouver Stock Exchange. Two Tables illustrate the study. |
SCIMA