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  • Search: subject:"Arbitrageur-based asset pricing"
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Year of publication
Subject
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Arbitrageur-based asset pricing 2 Anomaly 1 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Discovery 1 Portfolio selection 1 Portfolio-Management 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Lu, Lei 2 Sun, Bo 2 Yan, Hongjun 2 Liu, Qi 1 Lium, Qi 1
Institution
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Federal Reserve Board (Board of Governors of the Federal Reserve System) 1
Published in...
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International Finance Discussion Papers 1 International finance discussion papers 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
A Model of Anomaly Discovery
Liu, Qi; Lu, Lei; Sun, Bo; Yan, Hongjun - Federal Reserve Board (Board of Governors of the … - 2015
We analyze a model of anomaly discovery. Consistent with existing evidence, we show that the discovery of an anomaly reduces its magnitude and increases its correlation with existing anomalies. One new prediction is that the discovery of an anomaly reduces the correlation between deciles 1 and...
Persistent link: https://www.econbiz.de/10011268463
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Cover Image
A model of anomaly discovery
Lium, Qi; Lu, Lei; Sun, Bo; Yan, Hongjun - 2015
Persistent link: https://www.econbiz.de/10010493908
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