Asset pricing anomalies : persistence, aggregation, and monotonicity
In Chapter 1, I investigate whether returns of strategies based on asset pricing anomalies exhibit time series persistence which can be attributed to flow-induced trading by mutual funds. I find persistence for thirteen characteristics, which is statistically significant for five including size, cor...
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| Format: | Others |
| Language: | en |
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2014
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| Online Access: | http://hdl.handle.net/2152/24778 |