Errors in recorded security prices and the turn-of-the year effect



http://clevelandfed.org/research/workpaper
Best available copy

Failure to reject the LPSH as an explanation of the TOY effect has impli-
cations for future research into stock market behavior. More research needs
to be done on the nature and severity
of recorded-price errors as a source of
specification error in tests of risk-return generating models such as the
CAPM.   Recorded-price errors may be the source of abnormal returns surrounding

events, such as stock splits and dividend payments, which may be accompanied
by flow-supply and/or flow-demand pressures.



More intriguing information

1. Optimal Tax Policy when Firms are Internationally Mobile
2. CAPACITAÇÃO GERENCIAL DE AGRICULTORES FAMILIARES: UMA PROPOSTA METODOLÓGICA DE EXTENSÃO RURAL
3. IMMIGRATION POLICY AND THE AGRICULTURAL LABOR MARKET: THE EFFECT ON JOB DURATION
4. Reputations, Market Structure, and the Choice of Quality Assurance Systems in the Food Industry
5. The name is absent
6. CONSIDERATIONS CONCERNING THE ROLE OF ACCOUNTING AS INFORMATIONAL SYSTEM AND ASSISTANCE OF DECISION
7. A Unified Model For Developmental Robotics
8. The name is absent
9. Managing Human Resources in Higher Education: The Implications of a Diversifying Workforce
10. Notes on an Endogenous Growth Model with two Capital Stocks II: The Stochastic Case
11. A methodological approach in order to support decision-makers when defining Mobility and Transportation Politics
12. ANTI-COMPETITIVE FINANCIAL CONTRACTING: THE DESIGN OF FINANCIAL CLAIMS.
13. Whatever happened to competition in space agency procurement? The case of NASA
14. Fiscal Policy Rules in Practice
15. SME'S SUPPORT AND REGIONAL POLICY IN EU - THE NORTE-LITORAL PORTUGUESE EXPERIENCE
16. SOME ISSUES CONCERNING SPECIFICATION AND INTERPRETATION OF OUTDOOR RECREATION DEMAND MODELS
17. Getting the practical teaching element right: A guide for literacy, numeracy and ESOL teacher educators
18. Design and investigation of scalable multicast recursive protocols for wired and wireless ad hoc networks
19. SOCIOECONOMIC TRENDS CHANGING RURAL AMERICA
20. The name is absent