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Tests of Asset Pricing Models with Changing Expectations

Ferson, Wayne E.; Foerster, Stephen R.; Keim, Donald B. - Rodney L. White Center for Financial Research, Wharton …

Persistent link: https://www.econbiz.de/10005618256

General tests of latent variable models and mean-variance spanning

Ferson, Wayne E. - In: The journal of finance : the journal of the American … 48 (1993) 1, pp. 131-156

Persistent link: https://www.econbiz.de/10001141547

Direct evidence of non-trading of NYSE and AMEX stocks

Foerster, Stephen Robert; Keim, Donald B. - In: Security market imperfections in worldwide equity markets, (pp. 144-166). 2000

Persistent link: https://www.econbiz.de/10001506411

Direct Evidence of Non-Trading of NYSE and Amex Stocks

Foerster, Stephen R. - 2011

This paper documents the frequency of non-trading for NYSE and Amex stocks based on information in the CRSP monthly and daily data files. We find a declining pattern of non-trading over the 1926 to 1990 period: 23.4 percent of NYSE stocks do not trade on an average (end of the month) day during...

Persistent link: https://www.econbiz.de/10012757503