http://clevelandfed.org/research/workpaper
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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.
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