作者：Brennan, MJ; Xia, YH
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania
摘要：The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent. The analysis takes account of the fact that the parameters of both the underlying asset pricing model and the anomalous returns are estimated rather than known. The value that an investor would place on the ability to invest to exploit the apparent anomaly is also derived and illustrative calculations are presented for...
作者：George, TJ; Hwang, CY
作者单位：University of Iowa; Hong Kong University of Science & Technology
摘要：This study examines whether rates of information flow differ between trading and non-trading periods, and whether the variances of pricing errors differ at the open and close of trading. The approach improves on existing methods by allowing for correlation between pricing errors and information flow, and by conducting inferences at the individual security level. The daytime rate of information flow is about seven times the overnight rate, and the variances of pricing errors at the open are not...
