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Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist

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  • Goldman, M Barry
  • Beja, Avraham

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  • Goldman, M Barry & Beja, Avraham, 1979. "Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist," Journal of Finance, American Finance Association, vol. 34(3), pages 595-607, June.
  • Handle: RePEc:bla:jfinan:v:34:y:1979:i:3:p:595-607
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    Cited by:

    1. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
    2. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
    3. Sandrine Jacob Leal, 2013. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Economics Bulletin, AccessEcon, vol. 33(4), pages 3102-3116.
    4. Tom Berglund & Eva Liljeblom, 1990. "The impact of trading volume on stock return distributions : an empirical analysis," Finnish Economic Papers, Finnish Economic Association, vol. 3(2), pages 108-124, Autumn.
    5. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
    6. Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
    7. Torben B. Rasmussen, 2009. "Jump Testing and the Speed of Market Adjustment," CREATES Research Papers 2009-08, Department of Economics and Business Economics, Aarhus University.
    8. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    9. Cheng Guo & Jinwu Gao, 2017. "Optimal dealer pricing under transaction uncertainty," Journal of Intelligent Manufacturing, Springer, vol. 28(3), pages 657-665, March.

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