Elena Asparouhova and Hendrik Bessembinder are from David Eccles School of Business at the University of Utah. Ivalina Kalcheva is from Eller College of Management at the University of Arizona. The authors thank Shmuel Baruch; Peter Bossaerts; Michael Cooper; Wayne Ferson; Terry Hendershott; Sahn-Wook Huh; Michael Lemmon; Albert Menkveld; Mark Seasholes; Campbell Harvey; an Associate Editor; two anonymous referees; as well as seminar participants at the FMA Asia 2010 Conference, the University of California at Riverside, the Commodity Futures Trading Commission, Oxford University, Georgia State University, the University of Utah, the University of Arizona, the National University of Singapore, Rutgers University, Utah State University, the University of Oregon, the University of Wisconsin, the University of Porto, and Texas A&M University for helpful comments. The authors acknowledge the assistance provided by the Center for High Performance Computing at the University of Utah. Earlier versions of this manuscript were titled “Do Asset Pricing Regularities Reflect Microstructure Noise?”
Noisy Prices and Inference Regarding Returns
Article first published online: 7 MAR 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 2, pages 665–714, April 2013
How to Cite
ASPAROUHOVA, E., BESSEMBINDER, H. and KALCHEVA, I. (2013), Noisy Prices and Inference Regarding Returns. The Journal of Finance, 68: 665–714. doi: 10.1111/jofi.12010
- Issue published online: 7 MAR 2013
- Article first published online: 7 MAR 2013
- Accepted manuscript online: 26 NOV 2012 11:32AM EST
- Initial submission: August 28, 2010; Final version received: April 26, 2012
Options for accessing this content:
- If you would like institutional access to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!