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来源类型Working Paper
规范类型报告
DOI10.3386/w2960
来源IDWorking Paper 2960
An Econometric Analysis of Nonsynchronous Trading
Andrew W. Lo; A. Craig MacKinlay
发表日期1989-05-01
出版年1989
语种英语
摘要We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns. These are empirically testable implications for the variances, autocorrelations, and cross-autocorrelations of returns to individual stocks as well as to portfolios. We construct estimators to quantify the magnitude of non-trading effects in commonly used stock returns data bases and show the extent to which this phenomenon is responsible for the recent rejections of the random walk hypothesis.
主题Financial Economics
URLhttps://www.nber.org/papers/w2960
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/560235
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GB/T 7714
Andrew W. Lo,A. Craig MacKinlay. An Econometric Analysis of Nonsynchronous Trading. 1989.
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