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surat izin usaha perdagangan
business license
最后更新： 2021-08-06
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biaya anomali pasar perdagangan
is there a gap between the pro tability of a trading strategy on paper and that which can be achieved in practice? we answer this question by developing two new techniques to measure the real-world implementation costs of nancial market anomalies. the rst method extends fama-macbeth regressions to compare the on-paper returns to factor exposures with those achieved by mutual funds. the second method estimates average return dierences between stocks and mutual funds matched on risk characteristics. unlike existing approaches, these techniques deliver estimates of implementation costs without estimating parametric microstructure models from trading data or explicitly specifying factor trading strategies. after accounting for implementation costs, typical mutual funds earn low returns to value and no returns to momentum.
最后更新： 2022-05-14
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