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The Recovery Theorem
Published 2015“…Among other things, this allows us to recover the pricing kernel, market risk premium, and probability of a catastrophe and to construct model-free tests of the efficient market hypothesis.…”
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An order flow model and a liquidity measure of financial markets
Published 2009Get full text
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A study of market efficiency in the period preceding earnings announcements
Published 2007Get full text
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Here's an idea : knowledge sharing among competitors to build a critical mass
Published 2015Get full text
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