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



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

ABSTRACT

Errors in recorded security prices are a source of misspecification in the
market model. If recorded-price errors are sufficiently nonrandom, they
result in biased returns and biased and inconsistent estimates of market model
regression coefficients. This paper argues that tax-induced flow-supply pres-
sures result in end-of-the-year recorded-price errors that are nonrandom
enough to cause the appearance of anomalous turn-of-the-year stock return
behavior. Empirical tests of returns and market model regression coefficients
during the turn-of-the-year period cannot reject this errors-in-variables
explanation of the turn-of-the-year effect.



More intriguing information

1. Cross border cooperation –promoter of tourism development
2. Palkkaneuvottelut ja työmarkkinat Pohjoismaissa ja Euroopassa
3. Knowledge, Innovation and Agglomeration - regionalized multiple indicators and evidence from Brazil
4. PROFITABILITY OF ALFALFA HAY STORAGE USING PROBABILITIES: AN EXTENSION APPROACH
5. Improving behaviour classification consistency: a technique from biological taxonomy
6. The name is absent
7. Monetary Discretion, Pricing Complementarity and Dynamic Multiple Equilibria
8. A Study of Adult 'Non-Singers' In Newfoundland
9. Staying on the Dole
10. Applications of Evolutionary Economic Geography