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Working Paper 8611
ERRORS IN RECORDED SECURITY PRICES AND
THE Turn-OF-THE-YEAR EFFECT
By James B. Thomson
James B. Thomson is an economist at the Federal
Reserve Bank of Cleveland. This paper is based
on the author's Ph.D. dissertation at The Ohio
State University. The author thanks his
dissertation committee, Ed Kane(Chairman), Rene
Stulz, and Randy Olsen, as well as Andy Chen,
Ray Degennaro, Pat Hess, Bill Gavin, Jim Moser,
Bill Osterberg, and Eric Rosengren for helpful
comments and suggestions.
Working papers of the Federal Reserve Bank of
Cleveland are preliminary materials circulated
to stimulate discussion and critical comment.
The views stated herein are the author's and not
necessarily those of the Federal Reserve Bank of
Cleveland or of the Board of Governors of the
Federal Reserve System.
December 1986
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