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The probability of a “gross” violation of an efficient markets variance inequality |
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| Authors: | Walter Krämer |
| Institution: | 1. Department of Statistics, University of Dortmund, Vogelpothsweg 87, 44221, Dortmund, Germany |
| Abstract: | This note considers the small sample bias of the empirical variances of observed and ex-post-rational prices of financial assets, and shows that this can be much more severe than has previously been thought. |
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