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Cited by 2,754

The DOI matches its Crossref record; 32 of the 32 references it cites were found in a registry or an index.

Risk measurement when shares are subject to infrequent trading

Dimson, Elroy·1979·Journal of Financial Economics
DOI 10.1016/0304-405x(79)90013-8
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Citations

Cites

Show all 32 references

Research works printed but not linked: 31

  1. Altman, 1974, Comparative analysis of risk measures: France and the United States, Journal of Finance, 29, 1495, 10.2307/2978554 · doi:10.2307/2978554
  2. Ball, 1977, A note on errors in variables and estimates of systematic risk, Australian Journal of Management, 2, 79, 10.1177/031289627700200105 · doi:10.1177/031289627700200105
  3. Ball, 1977, Share capitalization changes, now information, and the Australian equity market, Australian Journal of Management, 2, 105, 10.1177/031289627700200202 · doi:10.1177/031289627700200202
  4. Belkaoui, 1977, Canadian evidence of heteroscedasticity in the market model, Journal of Finance, 32, 1320, 10.2307/2326532 · doi:10.2307/2326532
  5. Brealey, 1970, The distribution and independence of successive rates of return in the U.K. equity market, Journal of Business Finance, 2, 29
  6. Brenner, 1977, A simple model of non-stationarity of systematic risk, Journal of Finance, 32, 1081, 10.2307/2326514 · doi:10.2307/2326514
  7. Conrad, 1973, Recent behaviour of stock market prices in Germany and the random walk hypothesis, Kyklos, 26, 576, 10.1111/j.1467-6435.1973.tb01882.x · doi:10.1111/j.1467-6435.1973.tb01882.x
  8. Daniels, 1966, Autocorrelation between first differences of mid-ranges, Econometrica, 34, 215, 10.2307/1909865 · doi:10.2307/1909865
  9. Dimson, 1978, The risk premium on U.K. equities, Investment Analyst, 51, 14
  10. Fama, 1965, Tomorrow on the New York Stock Exchange, Journal of Business, 38, 285, 10.1086/294788 · doi:10.1086/294788
  11. Fisher, 1964, Rates of return on investments in common stocks, Journal of Business, 37, 1, 10.1086/294647 · doi:10.1086/294647
  12. Franks, 1977, An industry study of the profitability of mergers in the United Kingdom, Journal of Finance, 32, 1513, 10.2307/2326807 · doi:10.2307/2326807
  13. Girmes, 1975, Random walk hypothesis for 543 stocks and shares registered on the London Stock Exchange, Journal of Business Finance and Accounting, 2, 135, 10.1111/j.1468-5957.1975.tb00927.x · doi:10.1111/j.1468-5957.1975.tb00927.x
  14. Hodges, 1974, The interpretation of the geometric mean: A note, Journal of Financial and Quantitative Analysis, 9, 497, 10.2307/2329877 · doi:10.2307/2329877
  15. Jennergren, 1974, Price formation in the Norwegian and Swedish stock markets — Some random walk tests, Swedish Journal of Economics, 171, 10.2307/3439199 · doi:10.2307/3439199
  16. Kemp, 1971, The random walk hypothesis and the recent behaviour of equity prices in Britain, Economica, 38, 28, 10.2307/2551749 · doi:10.2307/2551749
  17. Kendall, 1974, Vol. 2
  18. Lau, 1974, The Tokyo Stock Exchange and the capital asset pricing model, Journal of Finance, 29, 507, 10.2307/2978820 · doi:10.2307/2978820
  19. Levy, 1971, On the short-term stationarity of beta coefficients, Financial Analysts Journal, 27, 55, 10.2469/faj.v27.n6.55 · doi:10.2469/faj.v27.n6.55
  20. Martin, 1975, Evidence of heteroscedasticity in the market model, Journal of Business, 48, 81, 10.1086/295714 · doi:10.1086/295714
  21. Meyer, 1975, The application of spectral analysis to demonstrate the stochastic distortion in the delta midrange of price series, Journal of Financial and Quantitative Analysis, 10, 221, 10.2307/2979034 · doi:10.2307/2979034
  22. Ohlson, 1978, On the theory of residual analyses and abnormal performance metrics, Australian Journal of Management, 3, 175, 10.1177/031289627800300205 · doi:10.1177/031289627800300205
  23. Praetz, 1969, Australian share prices and the random walk hypothesis, Australian Journal of Statistics, 11, 123, 10.1111/j.1467-842X.1969.tb00100.x · doi:10.1111/j.1467-842x.1969.tb00100.x
  24. Praetz, 1976, Some effects of errors on the independence and distribution of stock price returns, Australian Journal of Management, 1, 79, 10.1177/031289627600100205 · doi:10.1177/031289627600100205
  25. Rorke, 1974, A note concerning the availability of the study: Some indices and rates of return to Canadian equity investments for the period January 1956 to December 1967, Journal of Business Administration, 6, 64
  26. Rosenberg, 1971, Statistical analysis of price series obscured by averaging measures, Journal of Financial and Quantitative Analysis, 6, 1083, 10.2307/2329607 · doi:10.2307/2329607
  27. Schwartz, 1977, The time-variance relationship: Evidence on autocorrelation in common stock returns, Journal of Finance, 1, 41, 10.2307/2326901 · doi:10.2307/2326901
  28. Schwartz, 1977, Evidence on the presence and causes of serial correlation in market model residuals, Journal of Financial and Quantitative Analysis, 12, 291, 10.2307/2330436 · doi:10.2307/2330436
  29. Sharpe, 1964, A theory of market equilibrium under conditions of risk, Journal of Finance, 19, 425, 10.2307/2977928 · DOI
  30. Theobald, 1978, The variability and correlation of stock market indices, Accounting and Business Research, 9, 82, 10.1080/00014788.1978.9729142 · doi:10.1080/00014788.1978.9729142
  31. Tinic, 1974, Marketability of common stocks in Canada and the U.S.A.: A comparison of agent versus dealer dominated markets, Journal of Finance, 29, 729, 10.2307/2978589 · doi:10.2307/2978589

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Metadata

Authors
Dimson, E.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
1979-06
Volume
7
Issue
2
Pages
197-226
ISSN
0304-405X (ISSN-L)
DOI
10.1016/0304-405x(79)90013-8
OpenAlex
W1984272629
Cited by
2,754
References
32
FWCI
22.45
Type
journal article
Language
en
Open access
closed
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)

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CoChat. (2026). Citation check: Risk measurement when shares are subject to infrequent trading. https://app.cochat.ai/papers/10.1016/0304-405x(79)90013-8
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Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(79)90013-8

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.