McKenzie, Michael; Satchell, Stephen; Wongwachara, Warapong - In: Journal of Empirical Finance 28 (2014) C, pp. 215-229
In this paper, we present a unified theory of linear smoothing, which looks at the problem from a time-series perspective. We use the term ‘conversion’ to refer to generic operations that create a difference between true returns and reported returns. ‘Smoothing’ occurs when that...