Friction in the trading process and the estimation of systematic risk-Reference-Cited by-同舟云学术

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Friction in the trading process and the estimation of systematic risk

Published:1983-08 Issue:2 Volume:12 Page:263-278
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Cohen Kalman J.,Hawawini Gabriel A.,Maier Steven F.,Schwartz Robert A.,Whitcomb David K.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference24 articles.

1. Comparative analysis of risk measures: France and the United States;Altman;Journal of Finance,1974

2. On the existence of serial correlation in an efficient securities market;Cohen;TIMS Studies in the Management Sciences,1979

3. Implications of microstructure theory for empirical research on stock price behavior;Cohen;Journal of Finance,1980

4. Estimating and adjusting for the intervalling-effect bias in beta;Cohen;Management Science,1983

5. Risk measurement when shares are subject to infrequent trading;Dimson;Journal of Financial Economics,1979

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