On the impact of infrequent trading on the APT systematic risk components - Evidence from a thin security market

Teppo Martikainen; Jukka Perttunen; Paavo Yli-Olli; A. Gunasekaran

doi:10.1016/0377-2217(94)00176-6

On the impact of infrequent trading on the APT systematic risk components - Evidence from a thin security market

Teppo Martikainen, Jukka Perttunen, Paavo Yli-Olli, A. Gunasekaran

School of Business Administration (Harrisburg)

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

The purpose of this note is to analyze the effects of infrequent trading on the APT systematic risk components using Finnish data. Infrequent trading is reported to influence especially the first systematic risk component produced by factor analysis on stock returns.

Original language	English (US)
Pages (from-to)	23-27
Number of pages	5
Journal	European Journal of Operational Research
Volume	88
Issue number	1
DOIs	https://doi.org/10.1016/0377-2217(94)00176-6
State	Published - Jan 6 1996

All Science Journal Classification (ASJC) codes

General Computer Science
Modeling and Simulation
Management Science and Operations Research
Information Systems and Management

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10.1016/0377-2217(94)00176-6

Cite this

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title = "On the impact of infrequent trading on the APT systematic risk components - Evidence from a thin security market",

abstract = "The purpose of this note is to analyze the effects of infrequent trading on the APT systematic risk components using Finnish data. Infrequent trading is reported to influence especially the first systematic risk component produced by factor analysis on stock returns.",

author = "Teppo Martikainen and Jukka Perttunen and Paavo Yli-Olli and A. Gunasekaran",

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AU - Martikainen, Teppo

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AU - Yli-Olli, Paavo

AU - Gunasekaran, A.

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AB - The purpose of this note is to analyze the effects of infrequent trading on the APT systematic risk components using Finnish data. Infrequent trading is reported to influence especially the first systematic risk component produced by factor analysis on stock returns.

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On the impact of infrequent trading on the APT systematic risk components - Evidence from a thin security market

Abstract

All Science Journal Classification (ASJC) codes

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