Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices
Christian L. DunisLiverpool Business School, Liverpool John Moores University, CIBEF – Centre for International Banking, Economics and Finance, JMU, John Foster Building, 98 Mount Pleasant, Liverpool, L3 5UZ, UKJason LawsJozef Rudy
2011en
ABI
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