The Time‐variance Relationship: Evidence on Autocorrelation in Common Stock Returns

Schwartz, Robert A.; Whitcomb, David K.

doi:10.1111/j.1540-6261.1977.tb03240.x

Cited by 55 publications

(14 citation statements)

References 24 publications

(35 reference statements)

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“…Our mean beta estimates increased in magnitude with the differencing interval in conformity with other research findings on the interval effect (see, for example, Schwartz and White other [32]). …”

supporting

confidence: 92%

Equity Rights Issues and the Efficiency of the UK Stock Market

Marsh¹

1979

The Journal of Finance

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supporting

confidence: 92%

Equity Rights Issues and the Efficiency of the UK Stock Market

Marsh¹

1979

The Journal of Finance

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“…1111The stabilizing role of the specialist was studied by West and Tinic (1971), Barnea (1974), Cohen, Maier, Schwartz and Whitcomb (1977), Schwartz and Whitcomb (1977a), (1977b) and Mendelson (1987a), and was surveyed by Stoll (1985).…”

mentioning

confidence: 99%

Trading Mechanisms and Stock Returns: An Empirical Investigation

Amihud¹,

Mendelson²

1987

The Journal of Finance

544

153

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This paper examines the effects of the mechanism by which securities are traded on their price behavior. We compare the behavior of open‐to‐open and close‐to‐close returns on NYSE stocks, given the differences in execution methods applied in the opening and closing transactions. Opening returns are found to exhibit greater dispersion, greater deviations from normality and a more negative and significant autocorrelation pattern than closing returns. We study the effects of the bid‐ask spread and the price‐adjustment process on the estimated return variances and covariances and discuss the associated biases. We conclude that the trading mechanism has a significant effect on stock price behavior.

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“…1 See Schwartz and Whitcomb [1977], Hasbrouck and Schwartz [1988], Lo and MacKinlay [1988], Fleming and Remolina [1999], Stoll [2000], and Bessembinder and Rath [2008].…”

Section: Endnotesmentioning

confidence: 99%