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The informational role of end‐of‐the‐day returns in stock index futures
Herbst, Anthony F., (1992)
Stock index futures, expiration day volatility, and the “special” friday opening: A note
Herbst, Anthony F., (1990)
An alternative methodology for measuring expiration day price effects at Friday's close: The expected price reversal—A note
Herbst, Anthony F., (1991)