RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND EFFECT OF THINNESS IN SECURITIES MARKETS

[1] Benston G., 1974, J FINANC ECON, V1, P353, DOI [10.1016/0304-405X(74)90014-2, DOI 10.1016/0304-405X(74)90014-2]

[2] SLUTSKY EQUATIONS FOR ASSETS [J]. JOURNAL OF POLITICAL ECONOMY, 1968, 76 (01) : 114 - 127

[3] CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J]. JOURNAL OF BUSINESS, 1972, 45 (03) : 444 - 455

[4] Black Fischer., 1972, CAPITAL ASSET PRICIN, P79

[5] Blume M E, 1974, SURV CURR BUS, V54, P16

[6] COHEN K, UNPUBLISHED

[7] DETERMINANTS OF COMMON STOCK RETURNS VOLATILITY - INTERNATIONAL COMPARISON [J]. JOURNAL OF FINANCE, 1976, 31 (02) : 733 - 752

[8] COHEN KJ, 1977, J BANKING FINANCE, V1

[9] MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL [J]. JOURNAL OF FINANCE, 1976, 31 (04) : 1149 - 1168

[10] A DYNAMIC APPROACH TO THE THEORY OF CONSUMER DEMAND [J]. REVIEW OF ECONOMIC STUDIES, 1957, 24 (64) : 73 - 86

[1] Benston G., 1974, J FINANC ECON, V1, P353, DOI [10.1016/0304-405X(74)90014-2, DOI 10.1016/0304-405X(74)90014-2]

[2] SLUTSKY EQUATIONS FOR ASSETS [J]. JOURNAL OF POLITICAL ECONOMY, 1968, 76 (01) : 114 - 127

[3] CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J]. JOURNAL OF BUSINESS, 1972, 45 (03) : 444 - 455

[4] Black Fischer., 1972, CAPITAL ASSET PRICIN, P79

[5] Blume M E, 1974, SURV CURR BUS, V54, P16

[6] COHEN K, UNPUBLISHED

[7] DETERMINANTS OF COMMON STOCK RETURNS VOLATILITY - INTERNATIONAL COMPARISON [J]. JOURNAL OF FINANCE, 1976, 31 (02) : 733 - 752

[8] COHEN KJ, 1977, J BANKING FINANCE, V1

[9] MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL [J]. JOURNAL OF FINANCE, 1976, 31 (04) : 1149 - 1168

[10] A DYNAMIC APPROACH TO THE THEORY OF CONSUMER DEMAND [J]. REVIEW OF ECONOMIC STUDIES, 1957, 24 (64) : 73 - 86