TRADING PATTERNS, BID ASK SPREADS, AND ESTIMATED SECURITY RETURNS - THE CASE OF COMMON-STOCKS AT CALENDAR TURNING-POINTS

被引：122

作者：

KEIM, DB

机构：

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1989年 / 25卷 / 01期

关键词：

D O I：

10.1016/0304-405X(89)90097-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：75 / 97

页数：23

相关论文

共 25 条

[1] Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects
Admati, Anat R.
Pfleiderer, Paul
[J]. REVIEW OF FINANCIAL STUDIES, 1989, 2 (02) : 189 - 223
[2] ARIEL R, 1988, UNPUB HIGH STOCK RET
[3] BAGEHOT W, 1971, FINANCIAL ANAL J, V22, P12
[4] BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT
BLUME, ME
STAMBAUGH, RF
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) : 387 - 404
[5] BROCK WA, 1989, UNPUB EXOGENOUS DEMA
[6] OPTIMAL STOCK TRADING WITH PERSONAL TAXES - IMPLICATIONS FOR PRICES AND THE ABNORMAL JANUARY RETURNS
CONSTANTINIDES, GM
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1984, 13 (01) : 65 - 89
[7] CAPITAL GAINS TAXATION AND YEAR-END STOCK-MARKET BEHAVIOR
DYL, EA
[J]. JOURNAL OF FINANCE, 1977, 32 (01) : 165 - 175
[8] FOERSTER SR, 1989, UNPUB DIRECT EVIDENC
[9] ESTIMATING THE COMPONENTS OF THE BID ASK SPREAD
GLOSTEN, LR
HARRIS, LE
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1988, 21 (01) : 123 - 142
[10] BID, ASK AND TRANSACTION PRICES IN A SPECIALIST MARKET WITH HETEROGENEOUSLY INFORMED TRADERS
GLOSTEN, LR
MILGROM, PR
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (01) : 71 - 100