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For many years, stock market analysts have argued that value strategies outperform the market. These value strategies call for buying stocks that have low prices relative to earnings, dividends, book assets, or other measures of fundamental value. While there is some agreement that value...
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move together as in Adrian and Shin (2010), and iii) intermediaries increase their exposure to systematic risk as they … reduce their idiosyncratic risk through diversification, as in Acharya, Schnabl, and Suarez (2010). Under rational …
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