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EFTA00625129_sub_003 - EFTA00625129_300
pricing model. Journal of Financial Economics 82-3, 631-671. Liu W, 2009. Liquidity and Asset Pricing: Evidence from Daily Data over 1926 to 2005. Nottingham University Business School Research Paper No. 2009.03 Lyons RK, 2001. The Microstructure Approach to Exchange Rates, MIT Press, (Cambridge, Massachusetts). Madhavan A, 2000. Market microstruc
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