A cointegration approach to the lead-lag effect among size-sorted equity portfolios

Angelos Kanas () and Georgios Kouretas
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Angelos Kanas: Department of Economics, University of Crete, Greece

No 101, Working Papers from University of Crete, Department of Economics

Pages: 35 pages
Date: 2001-09
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Journal Article: A cointegration approach to the lead-lag effect among size-sorted equity portfolios (2005)
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