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Mexico, placing special focus on announcements related to the third QE program and the taper tantrum episode. A novel dataset …
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The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model...
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monetary policy announcements in Mexico and the US. Once the surprise component of the announcements is considered, our results …
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