haku: @indexterm Transaction costs / yhteensä: 345
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Tekijä: | McGullough, B. |
Otsikko: | An analysis of stock market transactions data |
Lehti: | Quarterly Review of Economics and Finance
1997 : VOL. 37:4, p. 887-904 |
Asiasana: | ECONOMICS STOCK MARKETS TRANSACTION COSTS |
Kieli: | eng |
Tiivistelmä: | Many studies have argued against the strict form of the efficient market hypothesis (EMH) by concluding that a lagged relationship exists between volume and the absolute value of a price change. These studies have denied a priori the possibility of a contemporaneous relationship. If a simultaneous relationship exists than least squares with only lagged variables suffers from omitted variable bias, and least squares with contemporaneous variables may suffer from simultaneous equations bias. |
SCIMA