Papers by David P Echevarria
Prices. 5.2. A Daily last trade price distributions relative to closing bid and ask price quotati... more Prices. 5.2. A Daily last trade price distributions relative to closing bid and ask price quotations for TS1. 5.2. B Daily last trade price distributions relative to closing bid and ask price quotations for TS2... 5.3. A Weekly average last transaction price distributions for TS1 5.3. B Weekly average last transaction price distributions for TS2 5.4. A Average cross-sectional daily momentum index values for TS1 21 b8 68 85 86 87 88 90 5.4. B Average cross-sectional daily momentum index values for TS2 90 5.5. A Weekly average cross-sectional momentum index values for TS1 91 5.5. B Weekly average cross-sectional momentum index values for TS2 91 6.1. A TS1 DJIA versus Momentum Index. ......... 135 6.1. B TS2 DJIA versus Momentum Index.135 xii CHAPTER 1
MARKET PEs AND INTEREST RATES GRAY REVISITED
The Financial Review, 1983
The Financial Review, 1995
A substantial number of last reported transactions for stocks trading on the New York Stock Excha... more A substantial number of last reported transactions for stocks trading on the New York Stock Exchange occur inside the quoted closing bid-ask spread. The tendency to close inside the spread results in price change magnitudes much smaller than those predicted from binomial models. Moreover, although the change magnitude is biased by the underlying trend of the market, the distribution of next day price change relatives is largely unaffected. The result is a systematic regularity between the location of today's close and tomorrow's close relative to the bid-ask spread.-0.115 113 113 113
The Quarterly Review of Economics and Finance, 1998
Much CPM-related research has explored the causes of the size effect anomaly. Blume and Stambaugh... more Much CPM-related research has explored the causes of the size effect anomaly. Blume and Stambaugh (1983) suggest that a "bid-ask bias" accounts for approximately me-half of the size effect. The bid-cask bias results from the tendency of stocks to bounce between the bid and the ask price quotes. This bounce causes a difference between obseroed returns and a more realistic assessment of equilibrium market returns. Examination of a sign+antly larger data set suggests that the d@-rence is caused by comparing value-weighted outcomes with equal-weighted outcomes.
The Impact of Bid-Ask Prices on Market Anomalies
The Financial Review, 1991
A substantial body of literature on security market anomalies has evolved since the articulation ... more A substantial body of literature on security market anomalies has evolved since the articulation of the efficient markets hypothesis. These anomalies include the size, January, and weekend effects. The evidence of such anomalies has been based upon returns computed from closing prices. Although readily available, analysis of closing prices may not reflect returns obtainable by public traders utilizing market orders
Capital Investment and the Profitability of Fortune 500 Industrials: 1971–1990
Studies in Economics and Finance, 1998
Uploads
Papers by David P Echevarria