FEEDBACK TRADERS AND STOCK RETURN AUTOCORRELATIONS - EVIDENCE FROM A CENTURY OF DAILY DATA

被引：179

作者：

SENTANA, E

WADHWANI, S

机构：

来源：

关键词：

D O I：

10.2307/2234525

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

[No abstract available]

引用

页码：415 / 425

页数：11

共 26 条

[1] Black F, 1976, P AM STAT ASS, P177
[2] BLACK F, 1989, NBER2946 WORK PAP
[3] BLACK F, 1988, NBER MACROECON ANN, P269
[4] IMPLICATIONS OF MICROSTRUCTURE THEORY FOR EMPIRICAL-RESEARCH ON STOCK-PRICE BEHAVIOR
COHEN, KJ
HAWAWINI, GA
MAIER, SF
SCHWARTZ, RA
WHITCOMB, DK
[J]. JOURNAL OF FINANCE, 1980, 35 (02) : 249 - 257
[5] CUTLER D, 1990, NBER3242 WORK PAP
[6] ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL
ENGLE, RF
LILIEN, DM
ROBINS, RP
[J]. ECONOMETRICA, 1987, 55 (02) : 391 - 407
[7] SOME NEW STOCK-MARKET INDEXES
FISHER, L
[J]. JOURNAL OF BUSINESS, 1966, 39 (01) : 191 - &
[8] GARBADE KD, 1982, CRISES EC FINANCIAL
[9] GOODHART CAE, 1988, LSE33 FIN MARK GROUP
[10] Hardouvelis G. A., 1989, AM ECON REV, V79, P736