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year period after portfolio formation. The announcement returns suggest that a significant portion of the return difference …. The evidence is inconsistent with a risk-based explanation for the return differential …
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This paper uses a new data set of quarterly portfolio holdings of 769 all-equity pension funds between 1985 and 1989 to evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding, which refers to buying (selling) the same stocks...
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aggregate equity premium, and countercyclical variation in stock market returns …
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