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Removing biases in computed returns

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Author Info

  • Lawrence Fisher
  • Daniel Weaver

    ()

  • Gwendolyn Webb

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-009-0161-8
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 35 (2010)
    Issue (Month): 2 (August)
    Pages: 137-161

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    Handle: RePEc:kap:rqfnac:v:35:y:2010:i:2:p:137-161

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Unbiased market index; Bias in computed returns; Jensen’s inequality; Asset pricing; Index construction; G10; G12; C43;

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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. Hamza, Olfa & Kortas, Mohamed & L'Her, Jean-Francois & Roberge, Mathieu, 2006. "International equity portfolios: Selecting the right benchmark for emerging markets," Emerging Markets Review, Elsevier, vol. 7(2), pages 111-128, June.
    2. Conrad, Jennifer & Kaul, Gautam, 1993. " Long-Term Market Overreaction or Biases in Computed Returns?," Journal of Finance, American Finance Association, vol. 48(1), pages 39-63, March.
    3. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
    4. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
    5. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
    6. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    7. Jones, Charles M. & Lipson, Marc L., 2001. "Sixteenths: direct evidence on institutional execution costs," Journal of Financial Economics, Elsevier, vol. 59(2), pages 253-278, February.
    8. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
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    Citations

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    Cited by:
    1. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
    2. Floros, Ioannis V. & Sapp, Travis R.A., 2011. "Shell games: On the value of shell companies," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 850-867, September.

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