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price discovery occurs around the clock for most assets. For a given asset, intraday risk and return distributions are … fairly similar, indicating a broadly constant risk-return-relationship during the day. Although the amount of price discovery … assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main …
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This paper estimates global bad and good uncertainties from monthly data on industrial production from a large set of countries. Bad and good uncertainties have opposite effects on macro aggregates and stock returns. An increase in bad uncertainty adversely impacts both, while an increase in...
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