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This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional …
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Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider a long-only strategy that involves only published...
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State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective …
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