Charemza, Wojciech; Shields, Kalvinder; Zalewska, Anna - In: The European Journal of Finance 10 (2004) 5, pp. 329-344
This paper analyses the predictability of a hypothetical market with freely negotiated prices on which exists a censoring of one-period returns which are in excess of an arbitrary level ('floor' and 'ceiling'). It is shown that the expected value of returns (adjusted for drift) conditional on...