Are trading invariants really invariant? Trading costs matter
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Cited by:
- Alessandro Micheli & Eyal Neuman, 2020. "Evidence of Crowding on Russell 3000 Reconstitution Events," Papers 2006.07456, arXiv.org, revised Sep 2022.
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This paper has been announced in the following NEP Reports:- NEP-MST-2020-12-21 (Market Microstructure)
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