The contribution of frictions to expected returns
Year of publication: |
2018
|
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Authors: | Hirakiy, Kazuhiro ; Skiadopoulos, George |
Publisher: |
London : Queen Mary University of London, School of Economics and Finance |
Subject: | Alpha | Asset pricing | Implied volatility spread | Limits of arbitrage | Market frictions | Return predictability |
Series: | Working Paper ; 874 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1041112823 [GVK] hdl:10419/210429 [Handle] |
Classification: | C13 - Estimation ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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