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Using a stochastic frontier model and a comprehensive dataset, we study factors that affect corporate efficiency in Europe. We find that (i) larger firms are less efficient than smaller firms, (ii) greater leverage contributes to corporate efficiency, and (iii) high competition is less...
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We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...
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We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by … employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic …-time interactions on the new EU markets are strongly determined by matured stock markets as well as the macroeconomic news originating …
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old and new EU members …
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