Is this an R question?

Are you taking about anomalies that disappear after we discover them? If we
discover an anomaly and it disappears, then we have to wonder if we priced
it right before or after. See the size effect.

http://schwert.ssb.rochester.edu/hbfech15.pdf

Richard Herron


On Wed, May 9, 2012 at 8:01 AM, Wei-han Liu <weihanliu2002@yahoo.com> wrote:

> Hi R users:
>
> There are some possible candidates of self-fulfilling prophecies in
> financial study.
>
> Could some people share some thoughts about the relevant theories,
> econometric tests, and R packages for implementation?
>
> Thanks for your attention and sharing.
>
> Wei-han
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>
>
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