The Contribution of Frictions to Expected Returns
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More about this item
Keywords
Alpha; Asset pricing; Implied volatility spread; Limits of arbitrage; Market frictions; Return predictability;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2019-04-01 (Corporate Finance)
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