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Implications of microstructure theory for empirical research in stock price behavior

Author

Listed:
  • Hawawini, Gabriel
  • Cohen, Kalman
  • Maier, Steven
  • Schwartz, Robert
  • Whitcomb, David

Abstract

This paper examines the implications of microstructure theory for empirical research on stock price behavior

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:33976
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    File URL: https://mpra.ub.uni-muenchen.de/33976/1/MPRA_paper_33976.pdf
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    References listed on IDEAS

    as
    1. Cohen, Kalman J, et al, 1978. "The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Markets," Journal of Finance, American Finance Association, vol. 33(1), pages 149-167, March.
    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.
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    More about this item

    Keywords

    Microstructure theory; empirical research on stock price behavior;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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