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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Official URL: https://doi.org/10.1016/0165-1765(88)90166-8
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:
Journal Article
Journal or Publication Title:
Economics Letters
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/hb
Subjects:
Departments:
ID Code:
55920
Deposited By:
Deposited On:
17 Jul 2012 14:14
Refereed?:
Yes
Published?:
Published
Last Modified:
21 Nov 2022 22:33