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We investigate the relationship between CEO risk incentives and the innovation premium (IP) proposed by Forbes. We suggest that compared to traditional proxies of innovation, the IP is a comprehensive measure of a firm’s overall innovation and, therefore can measure innovation in broader...
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We propose a new investment strategy, the improved cross-asset time-series momentum (I-XTSM) strategy, to improve investment performance. Using data on 25 investment portfolios and common commodities for the period from January 1990 to April 2021, we find that the I-XTSM strategy increases...
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