Chowdhury, Mustafa; Lin, Ji-Chai - In: The Financial Review 28 (1993) 3, pp. 385-401
This paper examines changes in return-generating processes before and after the crash of '87. We find that the process for daily returns of size-sorted portfolios changed from an ARMA (1, 2) in the pre-crash period to a MA(1) in the post-crash period. The change is explained by a "fads" model...