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A cointegration approach to the lead-lag effect among size-sorted equity portfolios

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  • Kanas, Angelos
  • Kouretas, Georgios P.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 14 (2005)
Issue (Month): 2 ()
Pages: 181-201

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Handle: RePEc:eee:reveco:v:14:y:2005:i:2:p:181-201

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Web page: http://www.elsevier.com/locate/inca/620165

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References

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Citations

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Cited by:
  1. Daxue Wang, 2006. "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006 182, Society for Computational Economics.
  2. Hsu, Pao-Peng & Liao, Szu-Lang, 2012. "The portfolio strategy and hedging: A spectrum perspective on mean–variance theory," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 129-140.
  3. Jiang, Shi-jie & Nieh, Chien-Chung, 2012. "Dynamics of underwriting profits: Evidence from the U.S. insurance market," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 1-15.

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