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ORGANIZATION OF CHAPTERS TO FOLLOW
NASDAQ QUOTATION RETURNS THEORY OO
CHARACTERISTICS OF THE NASDAQ MARKET
6 other sections not shown
abnormal returns American stock exchanges AMEX asked quotes Average Daily average returns behavior biases bid and asked bid—asked spread Blume and Stambaugh buy-and—hold portfolio returns buy-and—hold returns calculated returns Chapter closing transaction prices Cornell University CUSIP dealer December and January deciles dividend equals exchange data exchange evidence exchange listed exchange returns expected values F statistic Financial Economics identified inventory investors Journal of Financial Lakonishok and Smidt market makers market value median minus months NASD NASDAQ and exchange NASDAQ common stock NASDAQ data NASDAQ figures NASDAQ market NASDAQ quotation returns NASDAQ returns NASDAQ securities NASDAQ stocks NASDAQ system nonsynchronous trading null hypothesis number of observations NYSE observations greater Over—the-Counter price adjustments quintile quotation and transaction quotation data quotation prices random variables rebalanced portfolio rebalanced returns relative return bias return differences returns calculated small firms specialist Stock Exchange trading day trading volume true price variance York Stock Exchange