Schauten, M.B.J.; Dijk, D.J.C. van; Waal, J-P. van der - Erasmus Research Institute of Management (ERIM), ERIM … - 2008
Netherlands
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+++++
+++++
++++++
+++++=
+++
++
+
(2)
where dX
i,t
indicates a change in variable X from time t-1 to t, and MV
i,t
= Year End
Market Capitalization …
++++
⎟
⎠
⎞
⎜
⎝
⎛
+
⎟
⎠
⎞
⎜
⎝
⎛
+
⎟
⎠
⎞
⎜
⎝
⎛
+
+++++
++++=−
−−−−
−
−−
−
−−
−−−−
−
(3)
where, dX
i,t
indicates a change in X from time t-1 to t, and r
i,t
= stock return over year
t, R
i,t
= market …