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Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment

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  • Vijh, Anand M

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  • Vijh, Anand M, 1988. " Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment," Journal of Finance, American Finance Association, vol. 43(4), pages 1049-1055, September.
  • Handle: RePEc:bla:jfinan:v:43:y:1988:i:4:p:1049-55
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    References listed on IDEAS

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    1. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    2. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
    3. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    4. Abel, Andrew B., 1988. "Stock prices under time-varying dividend risk : An exact solution in an infinite-horizon general equilibrium model," Journal of Monetary Economics, Elsevier, pages 375-393.
    5. Fama, Eugene F, 1976. "Inflation Uncertainty and Expected Returns on Treasury Bills," Journal of Political Economy, University of Chicago Press, vol. 84(3), pages 427-448, June.
    6. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    7. Wilson, Jack W & Jones, Charles P, 1987. "A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85," The Journal of Business, University of Chicago Press, vol. 60(2), pages 239-258, April.
    8. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    9. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1, January.
    10. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
    11. Raymond W. Goldsmith & Robert E. Lipsey & Morris Mendelson, 1963. "Studies in the National Balance Sheet of the United States, Volume 2," NBER Books, National Bureau of Economic Research, Inc, number gold63-2, January.
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    Cited by:

    1. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    2. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    3. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
    4. Aggarwal, Raj & Gruca, Edward, 1993. "Intraday Trading Patterns in the Equity Options Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, pages 285-297.
    5. Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.
    6. Robert E.J. Hibbard & Rob Brown & Keith R. McLaren, 2002. "Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence," Monash Econometrics and Business Statistics Working Papers 13/02, Monash University, Department of Econometrics and Business Statistics.
    7. P. L. Varson & M. J. P. Selby, 1997. "Option prices as predictors of stock prices: intraday adjustments to information releases," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 49-72.

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