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This paper investigates the impact of individual bank fundamental variables on stock market returns using data from a … non-interest income in terms of fees and commissions. In panel regressions, we relate bank stock returns to fundamental … spatial correlation. Our results indicate that several bank-specific variables exhibit a robust explanatory power across …
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The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...
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