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Causes of cross-autocorrelation in security returns: Transaction costs versus information quality

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  • Terry Richardson
  • David Peterson

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  • Terry Richardson & David Peterson, 1997. "Causes of cross-autocorrelation in security returns: Transaction costs versus information quality," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(3), pages 29-39, September.
    • Handle: RePEc:spr:jecfin:v:21:y:1997:i:3:p:29-39
    DOI: 10.1007/BF02929036
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    References listed on IDEAS

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    1. Cohen, Kalman J, et al, 1980. "Implications of Microstructure Theory for Empirical Research on Stock Price Behavior," Journal of Finance, American Finance Association, vol. 35(2), pages 249-257, May.
    2. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    3. Hawawini, Gabriel & Cohen, Kalman & Maier, Steven & Schwartz, Robert & Whitcomb, David, 1980. "Implications of microstructure theory for empirical research in stock price behavior," MPRA Paper 33976, University Library of Munich, Germany.
    4. Mech, Timothy S., 1993. "Portfolio return autocorrelation," Journal of Financial Economics, Elsevier, vol. 34(3), pages 307-344, December.
    5. Boudoukh, Jacob & Richardson, Matthew P & Whitelaw, Robert F, 1994. "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 539-573.
    6. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1991. "Asymmetric Predictability of Conditional Variances," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 597-622.
    7. Ho, Thomas S. Y. & Michaely, Roni, 1988. "Information Quality and Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 53-70, March.
    8. Brennan, Michael J & Jegadeesh, Narasimhan & Swaminathan, Bhaskaran, 1993. "Investment Analysis and the Adjustment of Stock Prices to Common Information," The Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 799-824.
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    Cited by:

    1. Qamar Ishtiaq & Fahad Abdullah, 2015. "Ownership Concentration and Cross-Autocorrelation in Portfolio Returns," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(2), pages 85-104, October.

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