Akademik Veri Yönetim Sistemi
EMPRICAL RESEARCH in FINANCE
Course Description
This course represents an advanced study of empirical research methods in financial economics. We focus on the empirical techniques used most often in the analysis of financial markets and how they are applied to actual market data. The tentative list of topics includes:
The relative emphasis that each topic receives within the last category will depend on the interests of the students
We will meet each Wednesday, 14:30pm-17:30pm. Each week, I will assign relevant readings. These readings will consist of statistical background readings at times and specific papers in empirical financial economics. You are expected to read much of the material before the class. The class will not follow a lecture format; rather, I will act as the discussion leader and background resource, especially as it comes to techniques or methodology. I will attempt to devise a list of discussion questions each week to facilitate the presentation of each topic. A new feature this quarter will be the introduction of an empirical assignment applying a concept or technique from class that requires the use of a statistical package on a common dataset. I would encourage you to form study groups to discuss the papers, class assignments and project.
There is no textbook for this course. I will, however, form a packet of required readings which are listed in the outline below. This packet will be distributed to the students directly through the Department of Finance assistants or me. I will strive to make available as many of the supplemental (non-required) readings as possible.
Students should also avail themselves with the following useful reference books:
Anderson, T., 1984, An Introduction to Multivariate Analysis. New York: John Wiley and Sons.
Bodie, Z., A. Kane and A. Marcus, 1993, Investments, Second Edition. New York: Richard D. Irwin.
Cox, J. and M. Rubinstein, 1985, Options Markets. New York: Prentice Hall.
Hamilton, J. D., 1994, Time Series Analysis, Princeton University Press.
Judge G., W. Griffiths, C. Hill, H. Lutkepohl, T. Lee, 1985, The Theory and Practice of Econometrics, Second Edition. New York: John Wiley and Sons.
Silvey, S. D., 1975, Statistical Inference. New York: Chapman and Hall.
The topics covered in the course are divided into 12 sections, as outlined below. We will cover the first five topics comprehensively in class. I will encourage the students to choose a topic from the remaining list for their presentations.
Technical Trading Rules
Jensen, Michael C. and Smith, Clifford W., “The Theory of Corporate Finance: A Historical Overview”. Michael C. Jensen, Clifford W. Smith, Jr., THE MODERN THEORY OF CORPORATE FINANCE, New York: McGraw-Hill Inc., pp. 2-20, 1984. Available at SSRN: http://ssrn.com/abstract=244161 or doi:10.2139/ssrn.244161
Merton H. Miller, “Financial Innovation: The Last Twenty Years and the Next”, Graduate School of Business, The University of Chicago, Selected Paper Number 63.
Jay R. Ritter, “Introduction to Recent Developments in Corporate Finance , Edward Elgar Publishers, October 19, 2003
Cox, D., 1990, "Role of Models in Statistical Analysis," Statistical Science 5, 169-174.
McCloskey, 1985, "The Loss Function has been Mislaid: The Rhetoric of Significance Tests," American Economic Review 75, 201-205.
Leamer, E., 1983, "Let's Take the Con Out of Econometrics," American Economic Review 73, 31-43.
Silvey, S. D., 1975, Statistical Inference, Chapter 1. London: Chapman and Hall.
Bachelier, L., 1900, "Theorie de la Speculation," Annales de l'Ecole Normale Superieure 3, Gauthier-Villars, Paris.
Blattberg, R. and N. Gonedes, 1974, "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," Journal of Business 47, 244-280.
Cootner, P., ed., 1964, The Random Character of Stock Market Prices, Cambridge, MA: MIT Press.
Fama, E., 1976, Foundations of Finance. New York: Basic Books. Chapters 1 and 2.
Fama, E., 1965, "The Behavior of Stock Prices," Journal of Business 38, 34-105.
Harris, L., 1986, "A Transactions Data Study of Weekly and Intradaily Patterns in Stock Returns," Journal of Financial Economics 16, 99-117.
Kon, S., 1984, "Models of Stock Returns: A Comparison," Journal of Finance 39, 148-165.
Taylor, S., 1986, Modeling Financial Time Series, London: John Wiley & Sons, Ch. 2.
Boudoukh, J., M. Richardson and R. Whitelaw, 1994, "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns," Review of Financial Studies 7, 539-573.
Conrad, J. and G. Kaul, 1988, "Time Variation in Expected Returns," Journal of Busines, 409-426.
Fama, E. and K. French, 1988, "Permanent and Temporary Components of Stock Prices," Journal of Political Economy 96, 246-273.
Kim, M., C. Nelson, and R. Startz, 1991, "Mean Reversion in Stock Prices: Evidence and Implications," Review of Economic Studies 58, 515-528.
Lo, A., 1991, "Long-Term Memory in Stock Market Prices," Econometrica 59, 1279-1313.
Lo, A. and C. MacKinlay, 1988, "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies 1, 41-66.
Lo, A. and C. MacKinlay, 1993, "The Predictability of Asset Returns: Chapter 2," forthcoming in The Econometrics of Financial Markets, working paper, MIT.
Poterba, J. and L. Summers, 1988, "Mean Reversion in Stock Returns: Evidence and Implications," Journal of Financial Economics 22, 27-60.
Richardson, M. and J. Stock, 1990, "Drawing Inferences From Statistics Based on Multiyear Asset Returns," Journal of Financial Economics 25, 323-348.
Kandel, S. and R. Stambaugh, 1988, "Modeling Expected Stock Returns for Long and Short Horizons," Rodney L. White Center Working Paper No. 42-88, Wharton School, University of Pennsylvania.
Dickey, D. and W. Fuller, 1981, "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root" Econometrica 49, 1057-1072.
Lo, A. and C. MacKinlay, 1989, "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," Journal of Econometrics 40, 203-238.
Schwert, G., 1989, "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business and Economics Statistics 7, 147-160.
Fama, E. and K. French, 1988, "Dividend Yields and Expected Stock Returns," Journal of Financial Economics 22, 3- 26.
Fama, E. and K. French, 1989, "Business Conditions and Expected Returns on Stocks and Bonds," Journal of Financial Economics 25, 23-50.
Fama, E. and M. Gibbons, 1982, "Inflation, Real Returns and Capital Investment," Journal of Monetary Economics 9, 297- 323.
Fama, E. and W. Schwert, 1977, "Asset Returns and Inflation," Journal of Financial Economics 5, 115-146.
Keim, D. and R. Stambaugh, 1986, "Predicting Returns in the Stock and Bond Markets," Journal of Financial Economics 17, 357-390.
Akgiray, V., 1989, "Conditional Heteroscedasticity in Time Series of Stock Returns," Journal of Business 62, 55-80.
Bollerslev, T., 1986, "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," Review of Economics and Statistics 69, 542-547.
Christie, A., 1982, "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects," Journal of Financial Economics 10, 407-432.
French, K. and R. Roll, 1986, "Stock Return Variances: The Arrival of Information and the Reaction of Traders," Journal of Financial Economics 17, 5-26.
Pagan, A. and G. Schwert, 1990, "Alternative Models for Conditional Stock Volatility," Journal of Econometrics 45, 267-290.
Schwert, G., 1990, "Why Does Stock Market Volatility Change Over Time," Journal of Finance 44, 1115-1153.
Bollerslev, T., 1986, "Generalized Autoregressive Conditional Heteroscedasticity," Journal of Econometrics 31, 307-327.
Bollerslev, T., Chou, R. and K.Kroner, 1990, "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence," Journal of Econometrics 52, 5-59.
Engle, R., 1982, "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation," Econometrica 50, 987-1008.
French, K., Schwert, W. and R. Stambaugh, 1987, "Expected Stock Returns and Volatility," Journal of Financial Economics 19, 3-30.
Hamao Y., R. Masulis and V. Ng, 1990, "Correlations in Price Changes and Volatility Across International Stock Markets," Review of Financial Studies 3, 281-307.
Merton, R., 1980, "On Estimating the Expected Return on the Market," Journal of Financial Economics 8, 323-362.
Nelson, D., 1991, "Conditional Heteroscedasticty in Asset Returns:A New Approach," Econometrica 59, 347-370.
Chou, R., 1988, "Volatility Persistence and Stock Valuations," Journal of Applied Econometrics 3, 279-294.
Pagan, A. and A. Ullah, 1988, "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics 3, 87-105.
Andersen, T., 1993, "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," working paper, Kellogg School of Management, Northwestern University.
Campbell, J., Grossman, S. and J. Wang, 1993, "Trading Volume and Serial Correlation," Quarterly Journal of Economics 108, 905-939.
Gallant, R., Rossi, P. and G. Tauchen, 1992, "Stock Prices and Volume," Review of Financial Studies 5, 199-242.
Harris, L., 1987, "Transactions Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis 22, 127-141.
Jones, C., G. Kaul and M. Lipson, "Transactions, Volume and Volatility," Review of Financial Studies 7, 631-651.
Karpoff, J., 1987, "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis 22, 109-126.
Lamoureux, C. and W. Lastrapes, 1990, "Heteroscedasticity in Stock Return Data: Volume vs. GARCH Effects," Journal of Finance 46, 221-229.
Tauchen, G. and M. Pitts, 1983, "The Price Variability- Volume Relationship on Speculative Markets," Econometrica 51, 485-505.
Westerfield, R., 1977, "The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models," Journal of Financial and Quantitative Analysis 12, 743-765.
Black, F., Jensen, M. and M. Scholes, 1972, "The Capital Asset Pricing Model: Some Empirical Tests," in M. Jensen ed., Studies in the Theory of Capital Markets. New York: Praeger.
Fama, E., 1976, Foundations of Finance. New York: Basic Books. Chapters 9.
Fama, E. and J. MacBeth, 1973, "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy 91, 607-636.
Fama, E. and K. French, 1992, "The Cross-Section of Expected Stock Returns," Journal of Finance 47, 427-465.
Gibbons, M., 1982, "Multivariate Tests of Financial Models: A New Approach," Journal of Financial Economics 10, 3- 27.
Gibbons, M., Ross, S. and J. Shanken, 1989, "A Test of the Efficiency of a Given Portfolio," Econometrica 57, 1121- 1152.
Huberman, G. and S. Kandel, 1988, "Mean-Variance Spanning," Journal of Finance 43, 873-888.
Kandel, S., 1985, "The Likelihood Ratio Test Statistic of Mean-Variance Efficiency of a Given Portfolio," Journal of Financial Economics 13, 575-592.
Kothari, S., J. Shanken and R. Sloan, "Another Look at the Cross-section of Expected Stock Returns," working paper, University of Rochester, forthcoming Journal of Finance.
Lo, A. and C. MacKinlay, 1990, "Data Snooping Biases in Tests of Financial Asset Pricing Models," Review of Financial Studies 3, 431-468.
MacKinlay, C., 1987, "On Multivariate Tests of the CAPM," Journal of Financial Economics 18, 341-371.
Roll, R., 1977, "A Critique of the Asset Pricing Theory's Tests Part 1: On Past and Potential Testability of the Theory," Journal of Financial Economics 4, 129-176.
Shanken, J., 1985, "Multivariate Tests of the Zero-Beta CAPM," Journal of Financial Economics 14, 327-348.
Stambaugh, R., 1982, "On the Exclusion of Assets from the Two-Parameter Model: A Sensitivity Analysis," Journal of Financial Economics 10, 237-268.
Anderson, T., 1984, An Introduction to Multivariate Statistical Analysis, New York: John Wiley and Sons, Chapter 5.
Buse, A., 1982, "The Likelihood Ratio, Wald and Lagrange Multiplier Tests: An Expository Note," American Statistician 36, 153-157.
Bollerslev, T., R. Engle and J. Wooldridge, 1988, "A Capital Asset Pricing Model with Time Varying Covariances," Journal of Political Economy 96, 116-131.
Chan, K.C., G.A. Karolyi and R. Stulz, 1992, "Global Financial Markets and the Risk Premium on U.S. Equity," Journal of Financial Economics 32, 137-168.
Ferson, W., 1993, "Theory and Empirical Testing of Asset Pricing Models," forthcoming in The Finance Handbook, Jarrow, R., W. Ziemba and V. Maksimovic, (eds), North-Holland Publishers.
Ferson, W., S. Kandel and R. Stambaugh, 1987, "Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas," Journal of Finance 42, 201-220.
Ferson, W., S. Foerster, and D. Keim, 1993, "General Tests of Latent Variable Models and Mean-Variance Spanning," Journal of Finance 48, 131-155.
Gibbons, M. and W. Ferson, 1985, "Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio," Journal of Financial Economics 14, 217-236.
Harvey, C., 1989, "Time Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics 24, 289-317.
Harvey, C., 1991, "The World Price of Covariance Risk," Journal of Finance 46,111-157.
Duffie, D. and K. Singleton, 1991, "Simulated Moments Estimation of Markov Models of Asset Prices," working paper, Stanford University.
Hansen, L., 1982, "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica 50, 1029-1054.
Hansen, L. and K. Singleton, 1982, "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica 50, 1269-1286. (Errata in Volume 52, 267-268.)
Chan, K.C., N. Chen and D. Hsieh, 1985, "An Exploratory Investigation of the Firm Size Effect," Journal of Financial Economics 14, 451-471.
Chen, N., 1983, "Some Empirical Tests of Arbitrage Pricing," Journal of Finance 38, 1393-1414.
Chen, N., Roll, R. and S. Ross, 1986, "Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories," Journal of Business 59, 383-403.
Connor, G. and R. Korajczyk, 1988, "Risk and Return in an Equilibrium APT: Application of a New Test Methodology," Journal of Financial Economics 21, 255-289.
Dhrymes, P., Friend, I., Gultekin, B. and M. Gultekin, 1984, "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory," Journal of Finance 39, 323- 346.
Dybvig, P. and S. Ross, 1985, "Yes, the APT is Testable," Journal of Finance 40, 1173-1188.
Huberman, G., S. Kandel and R. Stambaugh, 1987, "Mimicking Portfolios and Exact Arbitrage Pricing," Journal of Finance 42, 1-10.
Lehmann, B. and D. Modest, 1988, "The Empirical Foundations of the Arbitrage Pricing Theory," Journal of Financial Economics 21, 213-254.
Roll, R. and S. Ross, 1980, "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance 35, 1073- 1103.
Roll, R. and S. Ross, 1984, "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply," Journal of Finance 39, 347-350.
Shanken, J., 1982, "The Arbitrage Pricing Theory: Is It Testable?" Journal of Finance 37, 1129-1140.
Shanken, J., 1985, "Multi-Beta CAPM or Equilibrium APT?: A Reply," Journal of Finance 40, 1189-1196.
Shukla, R. and C. Trzcinka, 1990, "Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors," Journal of Finance 45, 1541- 1564.
Trzcinka, C., 1986, "On the Number of Factors in the Arbitrage Pricing Model," Journal of Finance 41, 347-368.
Anderson, T., 1984, An Introduction to Multivariate Statistical Analysis, New York: John Wiley and Sons, Chapter 11 and 14.
Bansal, R. and S. Viswanathan, 1993, "No Arbitrage and Arbitrage Pricing: A New Approach," Journal of Finance 48, 1231-1261.
Bansal, R., D. Hsieh, and S. Viswanathan, 1993, "A New Approach to International Arbitrage Pricing," Journal of Finance 48, 1719-1747..
Carhart, M., R. Stevens, 1994, "Testing Conditional Asset Pricing Models," working paper, GSB University of Chicago.
Connor, G. and R. Korajczyk, 1992, "The Arbitrage Pricing Theory and Multifactor Models of Asset Returns," working paper, Northwestern University, Sections IV - VI.
Ferson, W. and C. Harvey, 1991, "The Variation of Economic Risk Premiums," Journal of Political Economy 99, 385-415.
Kan, R. and C. Zhang, 1994, "A Test of Conditional Asset Pricing Models," working paper, University of Toronto.
Breeden, D., Gibbons, M. and R. Litzenberger, 1989, "Empirical Tests of the Consumption Oriented CAPM", Journal of Finance 44, 231-262.
Brown, D. and M. Gibbons, 1985, "A Simple Econometric Approach for Utility-Based Asset Pricing Models," Journal of Finance 40, 359-381.
Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 8: Testing Euler Equations" in The Econometrics of Financial Markets, working paper, MIT.
Cecchetti, S., P.S. Lam and N. Mark, 1994, "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," Journal of Finance 49, 123-152.
Ferson, W. and C. Harvey, 1992, "Seasonality and Consumption-based Asset Pricing," Journal of Finance 47, 511- 552.
Ferson, W. and J. Merrick, 1987, "Non-stationarity and Stage of the Business Cycle Effects in Consumption-based Asset Pricing Relations," Journal of Financial Economics 18, 127- 146.
Grossman, S., A. Melino and R. Shiller, 1987, "Estimating the Continuous Time Consumption Based Asset Pricing Model," Journal of Business and Economic Statistics 5, 315-327.
Hansen, L. and R. Jagannathan, 1991, "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy 99, 225-262.
Hansen, L. and R. Jagannathan, 1992, "Assessing Specification Errors in Stochastic Discount Factor Models," working paper, University of Minnesota.
Hansen, L. and K. Singleton, 1982, "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica 50, 1269-1286.
Hansen, L. and K. Singleton, 1983, "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy 91, 249-265.
Wheatley, S., 1989, "Some Tests of the Consumption-based Asset Pricing Model," Journal of Monetary Economics 22, 193- 215.
Epstein, L. and S. Zin, 1989, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica 57, 937- 969.
Epstein, L. and S. Zin, 1991, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy 99, 263-286.
Mehra, R. and E. Prescott, 1985, "The Equity Premium Puzzle," Journal of Monetary Economics 15, 145-161.
Constantinides, G., 1990, "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy 98, 519-543.
Ferson, W. and G. Constantinides, 1991, "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," Journal of Financial Economics 29, 199-240.
Heaton, J., 1991, "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," working paper, MIT, forthcoming Econometrica.
Braun, P., 1992, "Asset Pricing and Capital Investment: Theory and Evidence," working paper, Northwestern University.
Cochrane, J., 1991, "Production-based Asset Pricing and the Link between Stock Returns and Economic Fluctuations," Journal of Finance 46, 207-234.
Fama, E., 1976, Foundations of Finance. New York: Basic Books. Chapter 5.
Fama, E., 1970, "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance 25, 383-417.
Fama, E., 1991, "Efficient Capital Markets: II," Journal of Finance 46, 1575-1617.
Grossman, S., 1989, The Informational Role of Prices. Cambridge: MIT. Press.
Grossman, S. and J. Stiglitz, 1980, "On the Impossibility of Informationally Efficient Markets," American Economic Review 70, 393-408.
Ackert, L. and B. Smith, 1993, "Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders," Journal of Finance 48, 1147-1159.
Bollerslev, T. and R. Hodrick, 1992, "Financial Market Efficiency Tests," forthcoming in The Handbook of Applied Econometrics, I, Macroeconomics, M. Pesaran and R. Wickins (eds), North-Holland Publishers.
Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 7: Testing Present Value Relations" in The Econometrics of Financial Markets, working paper, MIT.
Campbell, J. and R. Shiller, 1987, "Co-integration and Tests of Present Value Models," Journal of Political Economy 95, 1062-1088.
Flavin, M., 1983, "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence," Journal of Political Economy 91, 929-956.
Gilles, C. and S. LeRoy, 1991, "Econometric Aspects of the Variance-Bounds Tests: A Survey," Review of Financial Studies 4, 753-792.
Kleidon, A., 1986, "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy 94, 953- 1001.
Kothari, S. and J. Shanken, 1992, "Stock Return Variation and Expected Dividends: A Time-Series and Cross-Sectional Analysis," Journal of Financial Economics 31, 177-210.
LeRoy, S., 1989, "Efficient Capital Markets and Martingales," Journal of Economic Literature 27, 1583-1621.
LeRoy, S. and R. Porter, 1981, "The Present Value Relation: Tests Based on Variance Bounds," Econometrica 49, 555-574.
Marsh, T. and R. Merton, 1986, "Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices," American Economic Review 76, 483-498.
Michener, R., 1982, "Variance Bounds in a Simple Model of Asset Pricing," Journal of Political Economy 90, 166-175.
Schwert, W., 1991, "Review of Market Volatility by Robert J. Shiller," Journal of Portfolio Management 17, 74-78.
Shiller, R., 1981, "Do Stock Prices Move Too Much To Be Justified By Subsequent Changes in Dividends?" American Economic Review 71, 421-436.
West, K., 1988, "Dividend Innovations and Stock Price Volatility," Econometrica 56, 37-61.
Engle, R. and C. Granger, 1987, "Co-Integration and Error Correction: Representation, Estimation and Testing," Econometrica 55, 251-276.
Johansen, S., 1988, "Statistical Analysis of Cointegrating Vectors," Journal of Economics, Dynamics and Control 12, 231- 254.
Johansen, S., 1991, "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica 59, 1551-1581.
Ariel, R., 1990, "High Stock Returns Before Holidays: Existence and Evidence on Possible Causes," Journal of Finance 45, 1611-1626.
Banz, R., 1981, "The Relationship Between Return and Market Value of Common Stock," Journal of Financial Economics 9, 3-18.
Keim, D., 1983, "Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence," Journal of Financial Economics 12, 13-32.
Lakonishok, J. and S. Smidt, 1988, "Are Seasonal Anomalies Real? A Ninety-Year Perspective," Review of Financial Studies 1, 403-427.
Reinganum, M., 1981, "Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values," Journal of Financial Economics 9, 19-46.
Rosenberg, B., Reid, K. and R. Lanstein, 1985, "Persuasive Evidence of Market Inefficiency," Journal of Portfolio Management 12, 9-16.
Arbanell, J. and V. Bernard, 1992, "Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior," Journal of Finance 47, 1181-1207.
Ball, R. and S. Kothari, 1989, "Nonstationary Expected Returns: Implications for Tests of Market Efficiency and Serial Correlation in Returns," Journal of Financial Economics 25, 51-74.
Chan, K.C., 1988, "On the Contrarian Investment Strategy," Journal of Business 61, 147-163.
Chopra, N., Lakonishok, J. and J. Ritter, 1992, "Measuring Abnormal Performance: Do Stocks Overreact?" Journal of Financial Economics 31, 235-268.
DeBondt, W. and R. Thaler, 1985, "Does the Stock Market Overreact?" Journal of Finance 40, 793-805.
DeBondt, W. and R. Thaler, 1987, "Further Evidence of Investor Overreaction and Stock Market Seasonality," Journal of Finance 42, 557-581.
Jegadeesh, N. and S. Titman, 1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance 48, 65-91.
Jegadeesh, N. and S. Titman, 1991, "Short horizon Returns Reversals and the Bid-Ask Spread," working paper, University of California at Los Angeles.
Lehmann, B., 1990, "Fads, Martingales, and Market Efficiency," Quarterly Journal of Economics 105, 1-28.
Lo, A. and C. MacKinlay, 1990, "When Are Contrarian Profits Due to Stock Market Overreaction?" Review of Financial Studies 3, 175-207.
Zarowin, P., 1990, "Size, Seasonality and Stock Market Overreaction," Journal of Financial and Quantitative Analysis 25, 113-125.
Campbell, J., A. Lo and C. MacKinlay, "Chapter 3: Aspects of Market Microstructure" in The Econometrics of Financial Markets, working paper, MIT.
Amihud, Y. and H. Mendelson, 1987, "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance 42, 533-553.
Blume, M., MacKinlay, C. and B. Terker, 1989, "Order Imbalances and Stock Prices Movements on October 19 and 20, 1987," Journal of Finance 44, 827-848.
Christie, W. and P. Schultz, 1994, "Why do NASDAQ Market- makers Avoid Odd-Eighth Quotes?" Journal of Finance 49, 1813- 1840.
Cohen, K., Maier, S., Schwartz, R. and D. Whitcomb, 1986, The Microstructure of Securities Markets. New Jersey: Prentice-Hall.
Foster, D. and S. Viswanathan, 1993, "Variations in Trading Volume, Return Volatility and Trading Costs," Journal of Finance 48, 187-211.
Hasbrouck, J., 1988, "Trades, Quotes, Inventories and Information," Journal of Financial Economics 22, 229-252.
Hasbrouck, J., 1991, "Measuring the Information Content of Stock Trades," Journal of Finance 46, 176-208.
Hasbrouck, J. and T. Ho, 1987, "Order Arrival, Quote Behavior, and the Return-Generating Process," Journal of Finance 42, 1035-1048.
Lee, C. and M. Ready, 1991, "Inferring Trade Direction from Intraday Data," Journal of Finance 46, 733-746.
Madhavan, A. and S. Smidt, 1991, "A Bayesian Model of Intraday Specialist Pricing," Journal of Financial Economics 30, 99-134.
RFS/WFA/NYSE Symposium on Market Microstructure, 1991, Volume 4, No. 3 of Review of Financial Studies.
Wood, R., McInish, T. and K. Ord, 1985, "An Investigation of Transactions Data for NYSE Stocks," Journal of Finance 40, 723-738.
Ball, C., 1988, "Estimation Bias Induced by Discrete Security Prices," Journal of Finance 43, 841-865.
Blume, M. and R. Stambaugh, 1983, "Biases in Computed Returns: An Application to the Size Effect," Journal of Financial Economics 12, 387-404.
Dimson, E., 1979, "Risk Measurement when Shares are Subject to Infrequent Trading," Journal of Financial Economics 7, 197-226.
Fisher, L., 1966, "Some New Stock Market Indexes," Journal of Business 39, 191-225.
Fowler, D. and C. Rorke, 1983, "Risk Measurement when Shares are Subject to Infrequent Trading: Comment," Journal of Financial Economics 12, 279-283.
Lo, A. and C. MacKinlay, 1990, "An Econometric Analysis of Non-Synchronous Trading," Journal of Econometrics 45, 181- 212.
Roll, R., 1983, "On Computing Mean Returns and the Small Firm Premium," Journal of Financial Economics 12, 371-387.
Scholes, M. and J. Williams, 1977, "Estimating Beta From Non-Synchronous Data," Journal of Financial Economics 5, 309- 327.
George, T., G. Kaul and M. Nimalendran, 1991, "Estimation of the Bid-Ask Spread and its Components: A New Approach," Review of Financial Studies 4, 623-656.
Glosten, L. and L. Harris, 1988, "Estimating the Components of the Bid/Ask Spread," Journal of Financial Economics 21, 123-142.
Harris, L., 1991, "Stock Price Clustering and Discreteness," Review of Financial Studies 5, 389-415.
Hausman, J., Lo, A. and C. MacKinlay, 1991, "An Ordered Probit Analysis of Transaction Stock Prices," Journal of Financial Economics 31, 319-379.
Roll, R., 1984, "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance 39, 1127-1139.
VIII. Event Study Methodology
Ball, C. and W. Torous, 1988, "Investigating Security Price Performance in the Presence of Event Date Uncertainty," Journal of Financial Economics 22, 123-154.
Binder, J., 1985, "On the Use of the Multivariate Regression Model in Event Studies," Journal of Accounting Research 23, 370-383.
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