Kazuhiro Hiraki

Queen Mary, University of London, School of Economics and Finance

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The Contribution of Frictions to Expected Returns

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 93 Posted: 11 Feb 2018 Last Revised: 20 Jun 2019
Kazuhiro Hiraki and George S. Skiadopoulos
Queen Mary, University of London, School of Economics and Finance and Queen Mary, University of London, School of Economics and Finance
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Abstract:

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Asset pricing, Implied volatility spread, Limits of arbitrage, Market frictions, Put-call parity, Return predictability