Volume and Autocovariances in Short-Horizon Individual Security Returns

• 1 September 1994
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 49  (4) , 1305-1329
• https://doi.org/10.2307/2329187

Abstract

Keywords

• INDIVIDUAL SECURITIES
• AUTOCOVARIANCES
• TRANSACTIONS
• INDIVIDUAL SECURITY RETURNS
• HORIZON INDIVIDUAL
• TRANSACTION SECURITIES
• TRADING ACTIVITY
• ARTICLE TESTS