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We examine when anomaly returns occur in order to understand if they exist. If anomalies are spurious, then anomaly returns should not depend on their proximity to the dates on which key anomaly information is released. Yet, they do. Using a powerful database containing the precise release date...
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time model. We solve the associated sup-convolution problem, and obtain explicit closed form solutions. The heterogeneous …
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, which usually have indefinite and comparatively long horizons. We analyze the role of the end time in an asset market … experiment, in which we vary the length of the horizon and whether the end time is definite or indefinite. We find very similar …
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