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The impact of information timeliness on the predictability of stock and futures returns: An application of vector models

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  • Ostermark, Ralf
  • Hernesniemi, Hannu
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-4031R0G-V/2/e2430b8430dda89af997df735c6b00fe
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 85 (1995)
    Issue (Month): 1 (August)
    Pages: 111-131

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    Handle: RePEc:eee:ejores:v:85:y:1995:i:1:p:111-131

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    Web page: http://www.elsevier.com/locate/eor

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Cornell, Bradford & French, Kenneth R, 1983. " Taxes and the Pricing of Stock Index Futures," Journal of Finance, American Finance Association, vol. 38(3), pages 675-94, June.
    2. Puttonen, Vesa, 1993. "Stock index futures arbitrage in Finland: Theory and evidence in a new market," European Journal of Operational Research, Elsevier, vol. 68(3), pages 304-317, August.
    3. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
    4. Choi, J. Y. & Salandro, Dan & Shastri, Kuldeep, 1988. "On the Estimation of Bid-Ask Spreads: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 219-230, June.
    5. Manaster, Steven & Rendleman, Richard J, Jr, 1982. " Option Prices as Predictors of Equilibrium Stock Prices," Journal of Finance, American Finance Association, vol. 37(4), pages 1043-57, September.
    6. Östermark, R, 1989. "Predictability of finnish and Swedish stock returns," Omega, Elsevier, vol. 17(3), pages 223-236.
    7. Stephan, Jens A & Whaley, Robert E, 1990. " Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets," Journal of Finance, American Finance Association, vol. 45(1), pages 191-220, March.
    8. Puttonen, Vesa, 1993. "The ex ante profitability of index arbitrage in the new Finnish markets," Scandinavian Journal of Management, Elsevier, vol. 9(Supplemen), pages S117-S127.
    9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    11. Roll, Richard, 1977. "An analytic valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 5(2), pages 251-258, November.
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    Cited by:
    1. Ostermark, Ralf & Saxen, Henrik, 1996. "VARMAX-modelling of blast furnace process variables," European Journal of Operational Research, Elsevier, vol. 90(1), pages 85-101, April.

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