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, whereas price impact models quantify trading costs. This paper studies what happens when trades are based on an incorrect … these misspecification costs and illustrate them on proprietary trading data. The misspecification costs are naturally …
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The USAGE model for the United States is used to quantify economic costs due to stock mispricing, made operational by …
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We show that the specific factors model can be used to derive a rigorous link between movements in stock prices and productivity, wages, employment, output, and welfare. We also prove that the commonly used measure of the effective rate of protection equals the dual measure of revenue TFP,...
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