Nonsynchronous security trading and market index autocorrelation
Article Abstract:
The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price-adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1987
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Testing Market Efficiency: Evidence From The NFL Sports Betting Market
Article Abstract:
Evidence from the National Football League betting market provides a test of market efficiency. Topics include efficiency in point spread betting markets, econometric methods and results, the probit model, specification tests, and trading strategies.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1997
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