Modeling and measuring intraday overreaction of stock prices
Year of publication: |
2012
|
---|---|
Authors: | Klößner, Stefan ; Becker, Martin ; Friedmann, Ralph |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 4, p. 1152-1163
|
Publisher: |
Elsevier |
Subject: | Intraday overreaction | OHLC data | Lévy processes | Stochastic time changes | Buy on bad news |
-
Testing for monotonicity in expected asset returns
Romano, Joseph P., (2011)
-
Open source information, investor attention, and asset pricing
Zhang, Wei, (2013)
-
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G., (2013)
- More ...
-
A Hausman test for Brownian motion
Becker, Martin, (2007)
-
Modeling and measuring intraday overreaction of stock prices
Klößner, Stefan, (2012)
-
A Hausman test for Brownian motion
Becker, Martin, (2007)
- More ...