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A New Approach To Controlling For Thin Trading

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  • Thomas H. McInish
  • Robert A. Wood

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  • Thomas H. McInish & Robert A. Wood, 1985. "A New Approach To Controlling For Thin Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 69-76, March.
    • Handle: RePEc:bla:jfnres:v:8:y:1985:i:1:p:69-76
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1985.tb00427.x
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    References listed on IDEAS

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    1. Schwert, G. William, 1977. "Stock exchange seats as capital assets," Journal of Financial Economics, Elsevier, vol. 4(1), pages 51-78, January.
    2. Marsh, Paul, 1979. "Equity Rights Issues and the Efficiency of the UK Stock Market," Journal of Finance, American Finance Association, vol. 34(4), pages 839-862, September.
    3. Fowler, David J. & Rorke, C. Harvey, 1983. "Risk measurement when shares are subject to infrequent trading : Comment," Journal of Financial Economics, Elsevier, vol. 12(2), pages 279-283, August.
    4. Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-888, September.
    5. Kalman J. Cohen & Gabriel A. Hawawini & Steven F. Maier & Robert A. Schwartz & David K. Whitcomb, 1983. "Estimating and Adjusting for the Intervalling-Effect Bias in Beta," Management Science, INFORMS, vol. 29(1), pages 135-148, January.
    6. Thomas H. McInish & Robert A. Wood, 1985. "Intraday And Overnight Returns And Day-Of-The-Week Effects," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 119-126, June.
    7. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    8. Frederick L. Muller & Bruce D. Fielitz & Myron T. Greene, 1984. "Portfolio Performance In Relation To Quality, Earnings, Dividends, Firm Size, Leverage, And Return On Equity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(1), pages 17-26, March.
    9. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    10. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    11. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
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    Cited by:

    1. Thomas H. McInish & Robert A. Wood, 1985. "Intraday And Overnight Returns And Day-Of-The-Week Effects," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 119-126, June.
    2. John C. Larson & Joel N. Morse, 1987. "Intervalling Effects In Hong Kong Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 353-362, December.

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