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a month. A theory-driven two-factor model featuring the green factor explains much of the recent underperformance of …
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, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed …
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Our framework for evaluating and investing in mutual funds combines observed returns on funds and passive assets with prior beliefs that distinguish pricing-model inaccuracy from managerial skill. A fund's alpha' is defined using passive benchmarks. We show that returns on non-benchmark passive...
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