Department of Finance
National Central University
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Delayed reaction hypothesis; Duration; Persistent losers; Persistent momentum strategy; Persistent winners; Heterogeneous beliefs; Information asymmetry
investment horizon, beta, size, book-to-market equity, CAPM, macroeconomic factors
Liquidity Premium, Factor Model, Characteristic-Based Model
factors, characteristics, asset-pricing anomalies, Fama-MacBeth cross-sectional regression, least-trimmed squares
asset pricing tests, market portfolio, buy-and-hold, rebalanced portfolio
factor model, characteristic model, structural break, Japanese market
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orange juice; temperature; investor sentiment; smart money
Sharpe Ratio, Block Resampling, Investment Horizon
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