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In this paper, using time series data for the period 2 January 1998 to 31 December 2008, for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop the analytical framework motivating the...
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While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending...
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