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Some Biases and Evolutionary Homomorphisms Implicit in the Calculation of Returns
16 references·0 citing·53 second hop
Some Biases and Evolutionary Homomorphisms Implicit in the Calculation of Returns (2016)Some Biases and Evolutionary Homomorphism…The leverage effect puzzle: Disentangling sources of bias at high frequency (2013)The leverage effect puzzle: D…The European Physical Journal A (2013)The European Physical Journal…Quantifying the Behavior of Stock Correlations Under Market Stress (2012)Quantifying the Behavior of S…Liquidity biases in asset pricing tests☆ (2010)Liquidity biases in asset pri…Measuring Closing Price Manipulation (2009)Measuring Closing Price Manip…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…The manipulation of closing prices (2004)The manipulation of closing p…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Long-Term Market Overreaction or Biases in Computed Returns? 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References

  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1983Biases in computed returns771 cited
  • n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures644 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 1993Long-Term Market Overreaction or Biases in Computed Returns?488 cited
  • 1992MODELLING ABNORMAL RETURNS: A REVIEW ARTICLE349 cited
  • 2013The European Physical Journal A323 cited
  • 1983On computing mean returns and the small firm premium300 cited
  • 1989Trading patterns, bid-ask spreads, and estimated security returns288 cited
  • 2010Liquidity biases in asset pricing tests☆260 cited
  • 1993Implications of Nonlinear Dynamics for Financial Risk Management210 cited
  • 2013The leverage effect puzzle: Disentangling sources of bias at high frequency205 cited
  • 2012Quantifying the Behavior of Stock Correlations Under Market Stress204 cited
  • 2004The manipulation of closing prices175 cited
  • 2009Measuring Closing Price Manipulation175 cited
  • 1992Growth Versus Security in Dynamic Investment Analysis

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