A Tale of Two States: An Application of a Markov Switching Model to Anomaly Returns
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-030-35040-6_14
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5. Campbell, J. Y., Hilscher, J., & Szilagyi, J. (2008). In search of distress risk. Journal of Finance, 63, 2899–2939.
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