THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS

Authors

  • Kalman J. Cohen,

  • Steven F. Maier,

  • Robert A. Schwartz,

  • David K. Whitcomb

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    • Graduate School of Business Administration, Duke University, Graduate School of Business Administration, New York University and Graduate School of Business Administration, Rutgers University.

      The authors wish to thank Professors A. Rashad Abdel-khalik, Avraham Beja, John Hughes, Wesley A. Magat, Walter L. Ness, Jr., David W. Peterson, and William L. Silber, as well as Hans Stoll, a referee for this Journal, for their helpful comments on earlier drafts of this paper.


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