Some Effects of Errors on the Independence and Distribution of Stock Price Returns

P. D. Praetz
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P. D. Praetz: Monash University. Helpful comments from R.R. Officer are gratefully acknowledged.

Australian Journal of Management, 1976, vol. 1, issue 2, 79-83

Abstract: There are many stages at which errors in recorded stock prices can appear. Some simple keypunching errors, for example, can cause substantial errors. This note demonstrates some effects of these errors on serial correlations and on the distributions of returns. One explanation is provided for observed negative first-order serial correlation and for observed “fat tails†in return distributions. Some of the effects are well-known but have not previously been documented.

Keywords: DATA ERRORS; RETURN DISTRIBUTIONS; SERIAL CORRELATION; STOCK MARKET PRICES (search for similar items in EconPapers)
Date: 1976
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:1:y:1976:i:2:p:79-83

DOI: 10.1177/031289627600100205

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