[2015년 제 1차] Difference of Stock Return Distributions and the Cr
작성자 : 관리자
조회수 : 832
게시일 :
2015-12-30
We investigate the significance of difference of distributions (DD) over time in the cross-sectional pricing of stocks. Our noble proxy for DD, based upon the Earth Mover’s Distance or the Wasserstein metric, measures the difference of empirical distribut