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We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10011897589
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10011927961
Persistent link: https://www.econbiz.de/10009301177
Persistent link: https://www.econbiz.de/10012595359
Economists have devoted increasing attention to the magnitude and consequences of measurement error in their data. Most … studies allow us to assess the magnitude of measurement errors in survey data, and the validity of the classical assumption …. In addition to the magnitude of the errors, we also focus on the validity of the classical assumption. Quite often, we …
Persistent link: https://www.econbiz.de/10014024981
Persistent link: https://www.econbiz.de/10012027343
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