Trading frequency and event study test specification

Article Abstract:

The effects of trading frequency on event study test specification are assessed based on the likely solutions to the problem of thin trading, namely, the standardized cross-sectional test, rank test and generalized sign test. Simulations of upper and lower tail tests were noted whether there were variance increases or not. C.J. Corrado's rank test offers the best specification and power when return variance is unlikely to rise, otherwise, the test becomes mis-specified. While the cross-sectional test is properly specified, it was not proven powerful for upper-tailed tests.

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On the optimal selection of portfolio under limited diversification

Article Abstract:

An algorithm on portfolio management was developed to evaluate the impact of average excess returns on investment risks. The proposed algorithm, which relies on the use of non-negative average correlation coefficients, actually works by determining a subset of securities. Experimental results suggest that as the pre-specified upper limit of securities increases, the optimal ratio tend to increase, as well.

Analysis, Securities, Standard deviations, Standard deviation

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Interacting biases, non-normal return distributions and the performance of tests for long-horizon studies

Article Abstract:

Research examining the performance and reliability of rate of return tests is presented. Particular attention is given to simulations of abnormal buy-and-hold stock return tests. Relations between sample size and skewness bias are examined.

United States, Management, Testing, Return on investment, Rate of return

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