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Subperiod aggregation and the power of multivariate tests of portfolio efficiency

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  • Gibbons, Michael R.
  • Shanken, Jay

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File URL: http://www.sciencedirect.com/science/article/B6VBX-45D0NDF-C/2/c023a0fd8a7c0accdac038125f016432
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 19 (1987)
Issue (Month): 2 (December)
Pages: 389-394

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Handle: RePEc:eee:jfinec:v:19:y:1987:i:2:p:389-394

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Web page: http://www.elsevier.com/locate/inca/505576

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Cited by:
  1. Chan, Kalok & Fong, Wai-Ming, 2000. "Trade size, order imbalance, and the volatility-volume relation," Journal of Financial Economics, Elsevier, vol. 57(2), pages 247-273, August.
  2. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August.
  3. G. William Schwert & Paul J. Seguin, 1991. "Heteroskedasticity in Stock Returns," NBER Working Papers 2956, National Bureau of Economic Research, Inc.
  4. Comerton-Forde, Carole & Tang, Kar Mei, 2009. "Anonymity, liquidity and fragmentation," Journal of Financial Markets, Elsevier, vol. 12(3), pages 337-367, August.
  5. BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 2002-17, Universite de Montreal, Departement de sciences economiques.
  6. Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002. "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
  7. Pontiff, Jeffrey, 1995. "Closed-end fund premia and returns Implications for financial market equilibrium," Journal of Financial Economics, Elsevier, vol. 37(3), pages 341-370, March.
  8. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1989. "Conditional Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers 2890, National Bureau of Economic Research, Inc.
  9. Chen, Chun-nan & Wu, Chunchi, 2009. "Small trades and volatility increases after stock splits," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 592-610, October.
  10. Chung, Kee H. & Van Ness, Robert A., 2001. "Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks," Journal of Financial Markets, Elsevier, vol. 4(2), pages 143-161, April.

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