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

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)23-27
Number of pages5
JournalEuropean Journal of Operational Research
Volume88
Issue number1
DOIs
StatePublished - Jan 6 1996

All Science Journal Classification (ASJC) codes

  • Computer Science(all)
  • Modeling and Simulation
  • Management Science and Operations Research
  • Information Systems and Management

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