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Determining security speed of adjustment coefficients

  • Theobald, Michael
  • Yallup, Peter
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    File URL: http://www.sciencedirect.com/science/article/B6VHN-47429S1-1/2/291d606ef75e651631a67e7d1f0c3899
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    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 7 (2004)
    Issue (Month): 1 (January)
    Pages: 75-96

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    Handle: RePEc:eee:finmar:v:7:y:2004:i:1:p:75-96
    Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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    1. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
    2. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    3. Eugene F Fama, . "Market Efficiency, Long-Term Returns, and Behavioral Finance," CRSP working papers 448, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    4. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, 08.
    5. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
    6. Theobald, Michael & Yallup, Peter, 1998. "Measuring cash-futures temporal effects in the UK using partial adjustment factors," Journal of Banking & Finance, Elsevier, vol. 22(2), pages 221-243, February.
    7. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
    8. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 973-93.
    9. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    10. Brisley, Neil & Theobald, Michael, 1996. " A Simple Measure of Price Adjustment Coefficients: A Correction," Journal of Finance, American Finance Association, vol. 51(1), pages 381-82, March.
    11. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    12. Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
    13. Theobald, Michael & Price, Vera, 1984. " Seasonality Estimation in Thin Markets," Journal of Finance, American Finance Association, vol. 39(2), pages 377-92, June.
    14. Damodaran, Aswath, 1993. " A Simple Measure of Price Adjustment Coefficients," Journal of Finance, American Finance Association, vol. 48(1), pages 387-400, March.
    15. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    16. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
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