What people are saying - Write a review
We haven't found any reviews in the usual places.
Estimates of Structural Parameters
1 other sections not shown
Other editions - View all
Asset Pricing Model augmented Dickey-Fuller test average return bid-asked spread brokerage commissions CAPM Chart Coefficients or statistics consumption growth consumption risk cost of transaction CRSP denotes dependent variables different from zero Easley and O'Hara Economics equilibrium pricing equilibrium returns Euler equation example expected return explanatory power function fundamentals traders GMM estimation Hiemstra high-volume months impatience parameter intertemporal intertemporal choice Journal of Finance lagged returns lagged volume low-volume months marginal cost marginal transactions costs marginal-cost Market Beta market depth market maker market return market risk Method of Moments noise trading nondurables Nonlinear number of shares NYSE orthogonality conditions overidentifying restrictions percent level prices and volume rational agent rational expectations real return regression relationship between returns representative agent returns and trading returns and volume risk and return risk aversion risk factor role of volume sample Shleifer significant significantly different Specification tests stock returns trading volume value-weighted volatility volume and returns