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Errors in recorded security prices and the turn-of-the year effect

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  • James B. Thomson

Abstract

A study that concludes recorded security price errors are potential sources of misspecification in joint tests of the capital asset pricing model and market efficiency.

Suggested Citation

  • James B. Thomson, 1986. "Errors in recorded security prices and the turn-of-the year effect," Working Papers (Old Series) 8611, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:8611
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    Cited by:

    1. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
    2. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(1), pages 21-38, August.

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    Keywords

    Stock - Prices;

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