Components of short-horizon individual security returns
dc.contributor.author | Conrad, Jennifer | en_US |
dc.contributor.author | Kaul, Gautam | en_US |
dc.contributor.author | Nimalendran, M. | en_US |
dc.date.accessioned | 2006-04-10T14:34:12Z | |
dc.date.available | 2006-04-10T14:34:12Z | |
dc.date.issued | 1991-10 | en_US |
dc.identifier.citation | Conrad, Jennifer, Kaul, Gautam, Nimalendran, M. (1991/10)."Components of short-horizon individual security returns." Journal of Financial Economics 29(2): 365-384. <http://hdl.handle.net/2027.42/29106> | en_US |
dc.identifier.uri | http://www.sciencedirect.com/science/article/B6VBX-458X2C6-18/2/ecb1d7f641abbde32a7696cdea1346f5 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/29106 | |
dc.description.abstract | In this paper, we present a simple model which relates security returns to three components: an expected return, a bid-ask error, and white noise. The relative importance of the various components is empirically assessed, and the model's ability to explain the various time-series properties of individual security and portfolio returns is tested. Time-varying expected returns and bid-ask errors are found to explain substantial proportions (up to 24%) of the variance of security returns. We also reconcile the typically negative autocorrelation in security returns with the strong positive autocorrelation in portfolio returns. | en_US |
dc.format.extent | 1374424 bytes | |
dc.format.extent | 3118 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | Elsevier | en_US |
dc.title | Components of short-horizon individual security returns | en_US |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | University of Michigan, Ann Arbor, MI 48109, USA | en_US |
dc.contributor.affiliationother | University of North Carolina, Chapel Hill, NC 27599, USA | en_US |
dc.contributor.affiliationother | University of Florida, Gainesville, FL 32611, USA | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/29106/1/0000144.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/0304-405X(91)90007-7 | en_US |
dc.identifier.source | Journal of Financial Economics | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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