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

Some Effects of Errors on the Independence and Distribution of Stock Price Returns 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Australian Journal of Management SAGE

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

Praetz, P. D.
Australian Journal of Management , Volume 1 (2): 5 – Oct 1, 1976
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Publisher
SAGE
Copyright
Copyright © by SAGE Publications
ISSN
0312-8962
eISSN
1327-2020
DOI
10.1177/031289627600100205
Publisher site
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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.

Journal

Australian Journal of Management – SAGE

Published: Oct 1, 1976

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