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ArticleComponents of short-horizon individual security returns

JENNIFER S. CONRAD1991

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Articlegreen1991

Components of short-horizon individual security returns

JENNIFER S. CONRAD · Gautam Kaul · Mahendrarajah Nimalendran

123 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1965The Behavior of Stock-Market Prices 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1977Estimating betas from nonsynchronous data 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1983Size-related anomalies and stock return seasonality 1986Stock return variances 1990When Are Contrarian Profits Due to Stock Market Overreaction?1977Foundations of Finance.

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1990When Are Contrarian Profits Due to Stock Market Overreaction?1999A New Estimate of Transaction Costs 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks 2005The Relative Contribution of Jumps to Total Price Variance 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 2001The High‐Volume Return Premium

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Year1991

Typearticle

Published1991-10-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations123

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(91)90007-7

openalex_workW2108894520

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2002

Dynamic Volume-Return Relation of Individual Stocks

2007Industry Information Diffusion and the Lead-lag Effect in Stock Returns