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We use Hong Kong stock market data from 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium...
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This paper examines the exchange rate effects of monetary policy shocks in New Zealand in the framework of the international monetary transmission mechanism. The model variables are suggested by a hybrid New Open Economy Macroeconomic (NOEM) model. Our empirical analysis indicates plausible...
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