Chelley-Steeley, Patricia L.; Steeley, James M. - In: Journal of International Financial Markets, … 33 (2014) C, pp. 56-77
In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading,...
