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Portfolio return autocorrelation

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Author Info
Mech, Timothy S.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-45GSH3H-1J/2/4434e1281413fc16911dae7dcf22e707
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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 34 (1993)
Issue (Month): 3 (December)
Pages: 307-344
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Handle: RePEc:eee:jfinec:v:34:y:1993:i:3:p:307-344

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

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  1. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-040, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  2. G.S Morgan & Peter N. Smith & S.H. Thomas, . "Portfolio return autocorrelation and non-synchronous trading in UK equities," Discussion Papers 00/46, Department of Economics, University of York. [Downloadable!]
  3. Terry Richardson & David Peterson, 1997. "Causes of cross-autocorrelation in security returns: Transaction costs versus information quality," Journal of Economics and Finance, Springer, vol. 21(3), pages 29-39, September. [Downloadable!] (restricted)
  4. Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy. [Downloadable!]
  5. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society. [Downloadable!]
  6. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. John Sell, 2006. "The Neuer Markt is Dead. Long Live the Neuer Markt!," International Advances in Economic Research, Springer, vol. 12(2), pages 191-202, May. [Downloadable!] (restricted)
  8. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York. [Downloadable!]
  9. Nikiforos Laopodis, 2008. "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer, vol. 32(3), pages 271-293, July. [Downloadable!] (restricted)
  10. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
  11. Säfvenblad, Patrik, 1997. "Lead-Lag Effects When Prices Reveal Cross-Security Information," Working Paper Series in Economics and Finance 189, Stockholm School of Economics. [Downloadable!]
  12. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June. [Downloadable!] (restricted)
  13. Eli Ofek & Matthew Richardson, 2001. "DotCom Mania: The Rise and Fall of Internet Stock Prices," NBER Working Papers 8630, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February. [Downloadable!] (restricted)
  15. George Milunovich, 2006. "Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia," Research Papers 0610, Macquarie University, Department of Economics. [Downloadable!]
  16. Tokuo Iwaisako, 2004. "Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market," Discussion Paper Series a448, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  17. Pablo Marshall & Eduardo Walker, 2002. "Asymmetric Reaction to Information and Serial Dependence of Short-run Returns," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 273-292, November. [Downloadable!]
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