Erschienen in:MIT Sloan Research Paper ; No. 6700-22
Umfang:
1 Online-Ressource (24 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.4101500
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 4, 2022 erstellt
Beschreibung:
Investors take for granted that returns are recorded in units of time, such as days, months, or years. Yet some time periods include unusual events that reasonably cause asset prices to change, whereas other periods are relatively free of unusual events, in which case returns mostly reflect noise. Based on insights from informationtheory, the authors rescale time into event units so that each return is related to a common degree of event intensity. Their analysis reveals that when returns are measured in event units, their distributions are more normal and their co-occurrences are more stable, which enables analysts to form more reliable inferences