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THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS · Study

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ArticleTHE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS

Menachem Brenner1977

Article1977

THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS

Menachem Brenner

37 citations·0/0 files stored·The Journal of Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1969The Adjustment of Stock Prices to New Information 2003The Adjustment of Stock Prices to New Information 1974Special Information and Insider Trading 1974Risk and return: The case of merging firms 1973Studies in the Theory of Capital Markets.1973Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk 1972Changes in Accounting Techniques and Stock Prices

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1979Risk measurement when shares are subject to infrequent trading 1998The Event Study Methodology Since 1969 1977The limited efficiency of The Johannesburg Stock Exchange 1988Risk Measurement for Event-Dependent Security Returns 1999The Estimation of Systematic Risk under Differentiated Risk Aversion: A Mean-Extended Gini Approach 1983The Analytic Relationship between Intervaling and Nontrading Effects in Continuous Time

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Year1977

Typearticle

Published1977-03-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations37

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6261.1977.tb03241.x

openalex_workW2031185164

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2016The Impact of the Greek Sovereign Debt Crisis on European Banks' Disclosure and its Economic Consequences