Noisy Prices and Inference Regarding Returns

By Elena Asparouhova, H. Bessembinder, Ivalina Kalcheva. 2013

206 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/46816f9dc0ef841fff4a53e78d847f7c11ad30ee

Citations in the corpus

• The Illiquidity Premium: International Evidence (2015, unknown): “2 This method modifies the equally-weighted mean to correct for potential bias resulting from microstructure noise, following Asparouhova, Bessembinder, and Kalcheva (2010, 2013). countries for equally-return-weighted returns (67% and 80% for value- and volume-weighted returns), significantly…”