This paper empirically examines the issue of market efficiency and time- varying risk return relationship for Bangladesh, an emerging equity market in South Asia. The study utilizes a unique data set of daily stock prices and returns compiled by the authors which was not utilized in any previous...

We investigate the procedure used by Ané and Geman (2000) to recover the moments of information flow from high frequency data in a model which generalizes the subordinated / mixture of distributions process in Clark (1973). Using Monte Carlo experiments we show that the third and higher moments...