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Why do value stocks earn higher returns than growth stocks, and vice versa?
Oertmann, Peter, (2000)
Market time and asset price movements : theory and estimation
Ghysels, Eric, (1995)
Modelling share price behaviour across time
Thompson, Spencer, (1999)
Long-term memory in stock market prices
Lo, Andrew W., (1989)
Fat tails, long memory, and the stock market since the 1960's
Lo, Andrew W., (1997)
Semi-parametric upper bounds for option prices and expected payoffs
Lo, Andrew W., (1987)