Information structure in international markets: measures and implications
Salomon Brothers Center for the Study of Financial Institutions, Graduate School of Business Administration, New York University, 1987 - Business & Economics - 21 pages
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1984 Forthcoming analysts Arbitrage assume Aswath Bank behavior bias in information binomial distribution British stocks CM CM Daily Kurtosis daily returns daily variances Damodaran different stock markets ESTIMATES U.S. Financial Economics firm value Foreign Exchange Market foreign stocks Forthcoming in Journal G.A. Hawawini G.F. Udell Grammatikos information bias information rich information structure Interest Rate investors J.J. Merrick January Japanese and British Japanese stocks Journal of Financial K.K. Lewis KURTOSIS ESTIMATES kurtosis in daily London Stock Exchange market value Model moments monthly variances natural event NYSE observation intervals observed return process PENNSYLVANIA STATE UNIVERSITY period portfolio managers preceding t intervals price changes price process proposition Published in Journal ratio real events return distribution return interval Risk S.G. Cecchetti Salomon Brothers Saunders September 1986 skewness in daily statistics stocks listed Swary three exchanges Tokyo Stock Exchange true value twenty-day returns U.S. VS FOREIGN Vora York Stock Exchange York University