Multifrequency news and stock returns
By: Laurent E. Calvet, Adlai J. Fisher.
Contributors: Fisher, Adlai J.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 11441.; Working paper series (National Bureau of Economic Research) -- working paper no. 11441.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 38
Subjects: Stocks -- Prices -- Econometric models
Notes: "June 2005."

Includes bibliographical references (p. 32-38).

Also available in PDF from the NBER world wide web site (www.nber.org).