Testing the efficient markets hypothesis on averaged data
Author:
Affiliation:
1. a Institute of Economics and Statistics , St Cross Building, Manor Road, Oxford , OX1 3UL , UK
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036848600000069
Reference28 articles.
1. The pricing of commodity contracts
2. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
3. The relation between forward prices and futures prices
4. The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
5. Efficient Capital Markets: A Review of Theory and Empirical Work
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