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Moving Stochastic Dominance: An Alternative Method For Testing Market Efficiency

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  • Roger P. Bey
  • Richard C. Burgess
  • Richard B. Kearns

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  • Roger P. Bey & Richard C. Burgess & Richard B. Kearns, 1984. "Moving Stochastic Dominance: An Alternative Method For Testing Market Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 185-196, September.
    • Handle: RePEc:bla:jfnres:v:7:y:1984:i:3:p:185-196
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1984.tb00369.x
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    References listed on IDEAS

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    1. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    2. Brown, Stewart L, 1978. "Earnings Changes, Stock Prices, and Market Efficiency," Journal of Finance, American Finance Association, vol. 33(1), pages 17-28, March.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Keown, Arthur J & Pinkerton, John M, 1981. "Merger Announcements and Insider Trading Activity: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 36(4), pages 855-869, September.
    5. Johnson, Keith H. & Burgess, Richard C., 1975. "The Effects of Sample Sizes on the Accuracy of EV and SSD Efficiency Criteria," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 813-820, December.
    6. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    7. Boness, A James & Chen, Andrew H Y & Jatusipitak, Som, 1974. "Investigations of Nonstationarity in Prices," The Journal of Business, University of Chicago Press, vol. 47(4), pages 518-537, October.
    8. Sunder, S, 1973. "Relationship Between Accounting Changes And Stock Prices - Problems Of Measurement And Some Empirical-Evidence," Journal of Accounting Research, Wiley Blackwell, vol. 11, pages 1-45.
    9. Pinches, George E & Singleton, J Clay, 1978. "The Adjustment of Stock Prices to Bond Rating Changes," Journal of Finance, American Finance Association, vol. 33(1), pages 29-44, March.
    10. James P. Quirk & Rubin Saposnik, 1962. "Admissibility and Measurable Utility Functions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 29(2), pages 140-146.
    11. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    12. Bar-Yosef, Sasson & Brown, Lawrence D, 1977. "A Reexamination of Stock Splits Using Moving Betas," Journal of Finance, American Finance Association, vol. 32(4), pages 1069-1080, September.
    13. Pettit, R Richardson, 1972. "Dividend Announcements, Security Performance, and Capital Market Efficiency," Journal of Finance, American Finance Association, vol. 27(5), pages 993-1007, December.
    14. Sunder, Shyam, 1980. "Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks," Journal of Finance, American Finance Association, vol. 35(4), pages 883-896, September.
    15. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    16. Kroll, Yoram & Levy, Haim, 1980. "Sampling Errors and Portfolio Efficient Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(3), pages 655-688, September.
    17. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    18. Ali, Mukhtar M., 1975. "Stochastic dominance and portfolio analysis," Journal of Financial Economics, Elsevier, vol. 2(2), pages 205-229, June.
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    Cited by:

    1. William E. Stein & Roger C. Pfaffenberger & Dan W. French, 1987. "Sampling Error In First Order Stochastic Dominance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(3), pages 259-268, September.

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