A Theory of Common Stock Returns Over Trading and Non-Trading Periods
Graduate School of Business and Public Administration, Cornell University and The Amos Tuck School of Business Administration, Dartmouth College. Helpful comments were received from Marshall Blume, Thomas Dyckman, Dale Morse, and Seymour Smidt. We especially thank Seha Tinic and Robert Officer for their thoughtful suggestions.
Careful analysis of the accuracy of the data plus computer expertise was graciously provided by Dorthy Bower. Partial finding of this study came from the Tuck Associate Research Program.