The Probability of a "Gross" Violation of an Efficient Markets Variance Inequality.

This note considers the small sample bias of the empirical variances of observed and ex-post-rational prices of financial assets, and shows that this can be much more severe than has previously been thought.

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Year of publication:	1995
Authors:	Kramer, Walter
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 20.1995, 3, p. 473-78
Publisher:	Department of Economics and Finance Research and Teaching

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005382209