The probability of a ?gross? violation of an efficient markets variance inequality

descriptionPublicationkeyboard_double_arrow_right Article 01 Sep 1995 English Publisher:Springer Science and Business Media LLCJournal:Empirical Economics, volume 20, pages 473-478 (issn: 0377-7332, eissn: 1435-8921,

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Authors: Walter Kr�mer;

doi: 10.1007/bf01180677

The probability of a ?gross? violation of an efficient markets variance inequality

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Abstract

This note considers the small sample bias of the empirical variances of observed and ex-post-rational prices of financial assets, and shows that this can be much more severe than has previously been thought.

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TU Dortmund University
Germany

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