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On the estimation of bid-ask spreads and their implications for stock volatility and return distributions
Choi, Jong-yeon - 1987
Persistent link: https://www.econbiz.de/10000786453
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version July 2009
Persistent link: https://www.econbiz.de/10003936746
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
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Canadian security market anomalies
Athanassakos, George; Foerster, Stephen Robert - In: Security market imperfections in worldwide equity markets, (pp. 297-336). 2000
Persistent link: https://www.econbiz.de/10001506429
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Causes of cross-autocorrelation in security returns : transaction costs versus information quality
Richardson, Terry L. - In: Journal of economics and finance 21 (1997) 3, pp. 29-39
Persistent link: https://www.econbiz.de/10001249956
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Cost of transacting and expected returns in the Nasdaq market
Eleswarapu, Venkat R. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2113-2127
Persistent link: https://www.econbiz.de/10001232327
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Costly short sales and the correlation of returns with volume
Karpoff, Jonathan M. - In: The journal of financial research 11 (1988) 3, pp. 173-188
Persistent link: https://www.econbiz.de/10001090736
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Further evidence from ex-dividend days
Bali, Rakesh; Francis, Jack Clark - In: Applied economics letters 19 (2012) 4/6, pp. 537-540
Persistent link: https://www.econbiz.de/10009630679
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Large scale mean-variance strategies in the U.S. stock market
Pezzo, Luca; Wang, Lei; Zirek, Duygu - In: Research in international business and finance 66 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014462513
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Some statistics for testing the influence of the number of transactions on the distributions of returns
Satchell, Stephen; Yoon, Joungjun - 1993
Persistent link: https://www.econbiz.de/10000142720