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Keywords: Selection bias
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2024) 13 (1-2): 83–115.
Published: 14 February 2024
... prior to reconstitution exhibits very similar pre-existing differences at the 1000/2000 cutoff, and thus the results from the most common implementation of this setting (e.g., as in Bird and Karolyi, 2019 ) reflect selection bias instead of a treatment effect. Additional tests confirm...
Includes: Supplementary data
