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Essays on empirical asset pricing

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Academic year: 2020

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Figure

Table 
  1. 
  Summary 
  Statistics 
  of 
  the 
  Ancerno 
  Database 
  used 
  in 
  this 
  study
Table 
  6a. 
  Fama 
  Macbeth 
  regressions 
  on 
  intra 
  quarter 
  returns 
  (up 
  until 
  the 
  last 
  10% 
  of 
  the 
  S&P 
  500 
  constituents 
  report 
  their 
  earnings) 
  on 
   
   RDWGHT 
  and 
  various 
  return 
  control
Table 
  6b. 
  Fama 
  Macbeth 
  regressions 
  on 
  cumulative 
  returns 
  around 
  the 
  earnings 
  announcement 
  dates
Table 
  8. 
  Intra-­‐quarter 
  returns 
  of 
  (2,12) 
  Momentum 
  return 
  from 
  1990 
  to 
  2013
+7

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