An alternative description of the stochastic process generating security returns

Hassanali Espahbodi, Pouran Espahbodi and Hassan Tehranian

Applied Stochastic Models and Data Analysis, 1988, vol. 4, issue 1, 1-12

Abstract: This research questions the appropriateness of the market model in describing the stochastic process generating security returns. A new descriptive model which considers the adaptive behaviour of economic agents and their partial adjustment to new information is proposed. Empirical results indicate that the proposed model is superior to the conventional market model in describing the returns generating process. These findings raise questions about previous studies concerning the information content of specific events or concerning the market efficiency.

Date: 1988
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https://doi.org/10.1002/asm.3150040102

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:4:y:1988:i:1:p:1-12

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