Bid-ask bias in cumulated returns: an analytical approach

Several studies in finance and accounting literature have measured security returns subsequent to some economic events over long horizons by cumulating the returns over time. It is well known that when single period returns are cumulated over long horizons, the bid–ask error in the measured returns...

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Veröffentlicht in:	European financial management : the journal of the European Financial Management Association 1998-03, Vol.4 (1), p.79-90
Hauptverfasser:	Datar, Vinay T., Naik, Narayan Y.
Format:	Artikel
Sprache:	eng
Schlagworte:	arithmetically cumulated returns bid-ask errors
Online-Zugang:	Volltext
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