Own- and Cross-Autocorrelations and Contemporaneous Correlations of Price-Based and Book-To-Market Ratio-Based Portfolio Returns.
碩士 === 國立東華大學 === 企業管理學系 === 88 === Since the lead-lag relation between portfolio returns was raised, the Efficient Market Hypothesis (EMH) has further been challenged. According to previous studies, it was widely believed that inefficient trading structure led to the lead-lag relation. In this pape...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98875112165148435279 |