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Heteroscedasticity, R 2 and Thin Trading on the Toronto Stock Exchange · Study

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ArticleHeteroscedasticity, R 2 and Thin Trading on the Toronto Stock Exchange

David J. Fowler1979

Article1979

Heteroscedasticity, R 2 and Thin Trading on the Toronto Stock Exchange

David J. Fowler · C. Harvey Rorke · Vijay M. Jog

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

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1966Equilibrium in a Capital Asset Market 1969The Adjustment of Stock Prices to New Information 2003The Adjustment of Stock Prices to New Information 1979Risk measurement when shares are subject to infrequent trading

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Details

Year1979

Typearticle

Published1979-12-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations46

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6261.1979.tb00065.x

openalex_workW2062862341

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2000The effect of additions to or deletions from the TSE 300 Index on Canadian share prices 1989A BIAS‐CORRECTING PROCEDURE FOR BETA ESTIMATION IN THE PRESENCE OF THIN TRADING 2002The rationales underlying reincorporation and implications for Canadian corporations