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 0165-1765Full text not available from this repository.
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.
|Journal or Publication Title:||Economics Letters|
|Subjects:||H Social Sciences > HB Economic Theory|
|Departments:||Lancaster University Management School > Economics|
|Deposited On:||17 Jul 2012 15:14|
|Last Modified:||23 Mar 2016 01:20|
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