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Suppose the value of a firm is endogenously determined by a manager's costly effort. We call this manager a distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the equilibrium market price reflects the value increasing...
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We study time-varying price leadership between international stock markets using a Markov switching causality model. We … trades openness increases price leadership. We also find that the lead-lag relationship between the stock markets is weaker …
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