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Errors in Recorded Security Prices and the Turn-of-the-Year Effect


A study that concludes recorded security price errors are potential sources of misspecification in joint tests of the capital asset pricing model and market efficiency.


Suggested citation: Thomson, James, 1986. “Errors in Recorded Security Prices and the Turn-of-the-Year Effect,” Federal Reserve Bank of Cleveland, Working Paper no. 86-11.

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