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This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....
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We use a sample of democratic firms (with 5 or less anti-takeover provisions) from the Investor Responsibility Research Center (IRRC) database and use idiosyncratic volatility as a proxy for information from the market of corporate control as in Ferreira and Laux (2007) to link the equity...
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