Asymmetric information and stock return cross-autocorrelations

DOI10.1016/j.econlet.2006.12.004zbMath1255.91126OpenAlexW2029568522MaRDI QIDQ1934089

Dan Bernhardt, Reza S. Mahani

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.12.004

zbMATH Keywords

asset pricingasymmetric informationfrictionsmicro-structurelead-lag

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Continuous Auctions and Insider Trading