1. frequency portfolios. In particular, we track the initial occurrence of a cumulative excess return of 50% and 100% in the daily portfolio compared with the lower-frequency portfolios in Table 5;threeparttable Table 5: Dates when daily lead-lag portfolios first outperform lower frequency lead-lag portfolios � Panel A: First occurrence of a cumulative excess return of 50% between daily and lower-frequency portfolios Raw Bidiurnally Weekly Bi-weekly Tri-weekly Monthly,1963
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