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Demand of passive index tracking funds has fared as a convincing explanation to justify the large positive (negative …) abnormal returns experienced by firms added to (deleted from) S&P 500. However, the shrinking magnitude of the index effect … predicts, and substantial abnormal returns before the index announcements suggest that demand of index funds doesn’t seem to be …
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This paper studies the problem of redistribution between individuals having different mortality rates. We use a continuous time model in which there are two types of individuals characterized by different survival probability paths. Individual preferences are represented by a generalized...
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