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Purpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach – The authors suggest the use of an F-test to examine mean stationarity of asset pricing effects across subperiods. The superiority of...
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Purpose – The purpose of this paper is to investigate short-selling around private investment in public equity (PIPE) issuances, for evidence of manipulative short-selling by hedge funds. Design/methodology/approach – The authors use the Regulation SHO short-selling data in combination with...
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Purpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach – The authors suggest the use of an F-test to examine mean stationarity of asset pricing effects across subperiods. The superiority of...
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