A Theory of the Dynamics of Security Returns around Market Closures

• 1 September 1994
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 49  (4) , 1163-1211
• https://doi.org/10.2307/2329183

Abstract

Keywords

• INFORMATIONAL ASYMMETRY
• SECURITY RETURNS
• UNCERTAINTY
• MARKET CLOSURES
• MIRROR
• NUMEROUS EMPIRICAL
• CLOSURES NUMEROUS
• VARIANCES