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A Simple Measure of Price Adjustment Coefficients: A Correction

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  • Brisley, Neil
  • Theobald, Michael

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  • Brisley, Neil & Theobald, Michael, 1996. "A Simple Measure of Price Adjustment Coefficients: A Correction," Journal of Finance, American Finance Association, vol. 51(1), pages 381-382, March.
    • Handle: RePEc:bla:jfinan:v:51:y:1996:i:1:p:381-82
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    Cited by:

    1. Prajwal Eachempati & Praveen Ranjan Srivastava, 2021. "Accounting for unadjusted news sentiment for asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(3), pages 383-422, May.
    2. Parthajit Kayal & Sayanti Mondal, 2020. "Speed of Price Adjustment in Indian Stock Market: A Paradox," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 453-476, December.
    3. Parthajit Kayal & S. Maheswaran, 2018. "Speed of Price Adjustment towards Market Efficiency: Evidence from Emerging Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 112-135, April.
    4. Säfvenblad, Patrik, 1997. "On the Damodaran Estimator of Price Adjustment Coefficients," SSE/EFI Working Paper Series in Economics and Finance 208, Stockholm School of Economics.
    5. Poshakwale, Sunil & Theobald, Michael, 2004. "Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 385-400, October.
    6. Shmuel Hauser & Azriel Levy, 1998. "Efficiency of Price Discovery in Thinly Traded Stocks: Evidence from Dual Listings in Tel Aviv and the OTC," Multinational Finance Journal, Multinational Finance Journal, vol. 2(2), pages 133-149, June.
    7. Dima, Bogdan & Murgea, Aurora & Cristea, Stefana, 2009. "The pattern of Euronext volatility in the crisis period: an intrinsic volatility analysis," MPRA Paper 20145, University Library of Munich, Germany.
    8. Chung, Kee H. & Chuwonganant, Chairat & Jiang, Jing, 2008. "The dynamics of quote adjustments," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2390-2400, November.
    9. Tony Naughton & Madhu Veeraraghavan, 2004. "Are Price Limits Priced? Evidence from the Taiwan Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 249-267, December.
    10. Theobald, Michael & Yallup, Peter, 2004. "Determining security speed of adjustment coefficients," Journal of Financial Markets, Elsevier, vol. 7(1), pages 75-96, January.
    11. Theobald, Michael & Yallup, Peter, 1998. "Measuring cash-futures temporal effects in the UK using partial adjustment factors," Journal of Banking & Finance, Elsevier, vol. 22(2), pages 221-243, February.
    12. Gili Yen & Ching-Lung Chen, 2009. "Partial auction, pricing information and price adjustment in the IPO's aftermarket: an empirical study of TAIEX-listing firms," Applied Financial Economics, Taylor & Francis Journals, vol. 19(8), pages 669-680.

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