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Transaction Prices When Insiders Trade Portfolios

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Author Info
Bossaerts, Peter

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File URL: http://www.hss.caltech.edu/SSPapers/sswp835.pdf
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Paper provided by California Institute of Technology, Division of the Humanities and Social Sciences in its series Working Papers with number 835.

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Date of creation: Feb 1993
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Handle: RePEc:clt:sswopa:835

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Postal: Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125
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Postal: Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125
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  1. Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Chamberlain, Gary & Rothschild, Michael, 1983. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Econometrica, Econometric Society, vol. 51(5), pages 1281-304, September. [Downloadable!] (restricted)
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  3. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August. [Downloadable!] (restricted)
  4. Gibbons, Michael R. & Ferson, Wayne, 1985. "Testing asset pricing models with changing expectations and an unobservable market portfolio," Journal of Financial Economics, Elsevier, vol. 14(2), pages 217-236, June. [Downloadable!] (restricted)
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