This paper examines the most frequently used models of conditional variance in the estimation of stock returns and portfolios. The models are analyzed by various tests in order to measure their capabilities to explain variance. At the same time, the tests

The present paper analyzes the impact of Chilean ADR issues o­n the price and variance of their underlying securities. The results indicate that the impact of the international issue o­n the dual listed securities is similar to that suggested in the finan

The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to these questions will help us better understand...