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Economic surprises and the behaviour of asset prices: Some analyses and further empirical results

Peel, David and Pope, P. (1988) Economic surprises and the behaviour of asset prices: Some analyses and further empirical results. Economics Letters, 27 (4). pp. 375-379. ISSN 0165-1765

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Abstract

This paper examines the implications of serial correlation in asset prices for market efficiency and announcement effect tests. The impact of four types of economic surprise is examined after allowing for observed serial correlation in three asset price series.

Item Type: Article
Journal or Publication Title: Economics Letters
Subjects: H Social Sciences > HB Economic Theory
Departments: Lancaster University Management School > Economics
ID Code: 55920
Deposited By: ep_importer_pure
Deposited On: 17 Jul 2012 15:14
Refereed?: Yes
Published?: Published
Last Modified: 09 Apr 2014 23:49
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/55920

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