ECONOMIC EVENTS, INFORMATION-STRUCTURE, AND THE RETURN-GENERATING PROCESS

被引:11
作者
DAMODARAN, A
机构
关键词
D O I
10.2307/2330759
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:423 / 434
页数:12
相关论文
共 15 条
[1]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[2]   COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J].
BLATTBERG, RC ;
GONEDES, NJ .
JOURNAL OF BUSINESS, 1974, 47 (02) :244-280
[3]   SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].
CLARK, PK .
ECONOMETRICA, 1973, 41 (01) :135-155
[4]  
COX JC, 1976, J FINANCIAL EC, V4, P637
[5]  
DAMODARAN A, 1985, INFORMATION STRUCTUR
[6]   RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].
DIMSON, E .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226
[7]  
Fama E. F., 1972, THEORY FINANCE
[8]   THE BEHAVIOR OF STOCK-MARKET PRICES [J].
FAMA, EF .
JOURNAL OF BUSINESS, 1965, 38 (01) :34-105
[9]   ON DISTRIBUTION OF STOCK PRICE DIFFERENCES [J].
MANDELBROT, B ;
TAYLOR, HM .
OPERATIONS RESEARCH, 1967, 15 (06) :1057-+
[10]   OPTION PRICING WHEN UNDERLYING STOCK RETURNS ARE DISCONTINUOUS [J].
MERTON, RC .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :125-144