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cash flows of the asset can be derived from yield curve of risk-free returns. With these assumptions, I derive a theory of …
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Recent concern over "high frequency trading" (HFT) has called into question the fairness of the practice. What does it mean for a financial market to be "fair"? We first examine how high frequency trading is actually used. High frequency traders are often implementing traditional beneficial...
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We present a theory of the diversification discount based on investor specialization in information; this is modeled by …
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