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We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to...
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significant framing effect. For upward sloping time series, the return forecasts stated by investors in the return forecast mode … are significantly higher than those derived for investors in the price forecast mode. For downward sloping time series …, the return forecasts given by investors in the return forecast mode are significantly lower than those derived for …
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