Biases in Computed Returns

Article Abstract:

Bias is observed in computations of stock returns computed with closing prices. Using the buy-and-hold method generally avoids upward bias. The size effect is largely attributable to incorrect computational methods.

Securities, Mathematical analysis

---

Arbitrage risk and the book-to-market anomaly

Article Abstract:

The book-to-market anomaly is greater when investors lack sophistication, transaction costs are higher, and stocks are more volatile.

Science & research, Research, Arbitrage

---

Similar abstracts:

• Abstracts: Financial innovations and arbitrage pricing in economies with frictions: revisited. Nonconvex production economies
• Abstracts: Oligopoly with asymmetric information: differentiation in credit markets. Welfare effects of changes in environmental quality under individual uncertainty about use
• Abstracts: Upgrades, tradeins, and buybacks. Pricing regulation under bypass competition. Network competition: II. Price competition
• Abstracts: Measuring core inflation. Inflation and Social Consensus in the Seventies. Incredibility and inflation in the EMS
• Abstracts: The factors determining the profitability of international airlines: some econometric results. Firm resources and joint ventures: what determines zero-sum versus positive-sum outcomes?

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.