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This paper compares the long-run buy-and-hold returns of privatization initial public offerings (IPOs) to those of the … domestic stock markets of respective countries using a sample of 241 privatization IPOs from 41 countries. The evidence … indicates that the privatization IPOs significantly outperform their domestic stock markets if the returns are equally …
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In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...
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