haku: @indexterm ARBITRAGE PRICING THEORY / yhteensä: 66
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| Tekijä: | Martikainen, T. |
| Otsikko: | On the impact of infrequent trading on the APT systematic risk components - evidence from a thin security market |
| Lehti: | European Journal of Operational Research
1996 : JAN 6, VOL. 88:1, p. 23-27 |
| Asiasana: | FINANCE ARBITRAGE PRICING THEORY OPERATIONAL RESEARCH |
| Kieli: | eng |
| Tiivistelmä: | The purpose of this note is to analyze the effects of infrequent trading on the APT systematic risk components using finnish data. Infrequent trading is reported to influence especially the first systematic risk component produced by factor analysis on stock returns. The results of this paper are of importance in many contexts. The estimation of the factor structure of stock returns is important for researchers as well as practitioners using the APT framework. The results may be essential when determining the expected returns of securities, cost of capital. |
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