Nonsynchronous Data and the Covariance-Factor Structure of Returns

• 1 June 1987
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 42  (2) , 221-231
• https://doi.org/10.2307/2328250

Abstract

Keywords

• COVARIANCE
• FACTOR STRUCTURE
• RETURNS EVIDENCE
• NONSYNCHRONOUS DATA
• SECURITY
• PRICE
• RETURNS PROVIDES
• ESTIMATED FACTOR