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This paper investigates whether long-term contrarian performance on the UK market is driven by low-priced stocks. We find that contrarian performance at low, middle, low price levels is positive. On the Fama-French risk adjusted basis, we find both low-priced and middle-priced losers have...
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This study is the first to examine whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We …
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