Biases in Computed Returns
Article Abstract:
Bias is observed in computations of stock returns computed with closing prices. Using the buy-and-hold method generally avoids upward bias. The size effect is largely attributable to incorrect computational methods.
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1983
Securities, Mathematical analysis
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1983
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Arbitrage risk and the book-to-market anomaly
Article Abstract:
The book-to-market anomaly is greater when investors lack sophistication, transaction costs are higher, and stocks are more volatile.
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2003
Science & research, Research, Arbitrage
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2003
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