Hao Wang

Prime Quantitative Research

MI

United States

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Pervasive underreaction: Evidence from high-frequency data

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 26 Oct 2015 Last Revised: 03 Aug 2020
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Prime Quantitative Research
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Abstract:

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Underreaction; High-Frequency; News; Attention; Expectation Formation