Working Paper
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.
Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.
Suggested Citation
Thomson, James B. 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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