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Trading volume and serial correlation in stock returns

Campbell, John Y.; Grossman, Sanford J.; Wang, Jiang - 1992

Persistent link: https://www.econbiz.de/10000136788

Trading volume and serial correlation in stock returns

Campbell, John Y. - In: The quarterly journal of economics 108 (1993) 4, pp. 905-939

Persistent link: https://www.econbiz.de/10001151036

Trading Volume and Serial Correlation in Stock Returns

Campbell, John Y. - 2012

This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse...

Persistent link: https://www.econbiz.de/10012755947

Trading Volume and Serial Correlation in Stock Returns

Campbell, John Y. - 1992

Persistent link: https://www.econbiz.de/10012474774

Trading Volume and Serial Correlation in Stock Returns

Campbell, John Y.; Grossman, Sanford J.; Wang, Jiang - In: The quarterly journal of economics 108 (1993) 4, pp. 905-940

Persistent link: https://www.econbiz.de/10007716632

Trading Volume and Serial Correlation in Stock Returns

Campbell, John Y.; Grossman, Sanford Jay; Wang, Jiang - National Bureau of Economic Research (NBER) - 1992

Persistent link: https://www.econbiz.de/10005828630

Models of the term structure of interest rates

Campbell, John Y.; Lo, Andrew W.; MacKinlay, Archie Craig - 1994

Persistent link: https://www.econbiz.de/10000893063

The econometrics of financial markets

Campbell, John Y.; Lo, Andrew W.; MacKinlay, Archie Craig - 1997 - 2. printing, with corrections

Persistent link: https://www.econbiz.de/10000592406

The Economics of Financial Markets

Campbell, John Y.; Lo, Andrew W.; Mackinlay, Craig A.; … - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 803-805

Persistent link: https://www.econbiz.de/10007359216

The Econometrics of Financial Markets

Campbell, John Y.; Lo, Andrew W.; MacKinlay, A.Craig; … - In: The review of financial studies 11 (1998) 1

Persistent link: https://www.econbiz.de/10007360219