SETS, arbitrage activity, and stock price dynamics

B-Tier

Journal: Journal of Banking & Finance

Year: 2000

Volume: 24

Issue: 8

Pages: 1289-1306

Authors (4)

Taylor, Nick (University of Bristol) Dijk, Dick van (not in RePEc) Franses, Philip Hans (Erasmus Universiteit Rotterdam) Lucas, Andre (Vrije Universiteit Amsterdam)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count