Browsing ODA Open Digital Archive by Author "Olsen, Gard Greger Kjærland"
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The Volatility of Quality and Quality Persistence
Olsen, Gard Greger Kjærland (Master thesis, 2015)I have reconstructed the quality indicator as defined by Asness, Frazzini, and Pedersen (2013), for a panel of 265 listed US firms and analyzed its persistence. The results show that conditioning on volatility of quality ...