Conrad is from the University of North Carolina, Hameed is from the National University of Singapore, and Niden is from the University of Notre Dame. We would like to thank the editor, an anonymous referee, Bruce Lehmann, Craig MacKinlay, and seminar participants at the American Finance Association meeting, Michigan State University, National Bureau of Economic Research, North Carolina State University, Ohio State University, Pennsylvania State University, University of North Carolina, University of Notre Dame, University of Rochester, and University of Texas-Dallas for their comments. Any remaining errors are ours alone. Niden acknowledges financial support from the University of Notre Dame Center for Research in Business.
Volume and Autocovariances in Short-Horizon Individual Security Returns
Article first published online: 30 APR 2012
1994 The American Finance Association
The Journal of Finance
Volume 49, Issue 4, pages 1305–1329, September 1994
How to Cite
CONRAD, J. S., HAMEED, A. and NIDEN, C. (1994), Volume and Autocovariances in Short-Horizon Individual Security Returns. The Journal of Finance, 49: 1305–1329. doi: 10.1111/j.1540-6261.1994.tb02455.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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