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Journal Article Information, Trade, and Derivative Securities Get access Michael J. Brennan, Michael J. Brennan Correspondence should be addressed to M. J. Brennan, Anderson Graduate School of Management, UCLA, Los Angeles, CA 90024. Search for other works by this author on: Oxford Academic Google Scholar H. Henry Cao H. Henry Cao Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 9, Issue 1, January 1996, Pages 163–208, https://doi.org/10.1093/rfs/9.1.163 Published: 03 June 2015
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Brennan et al. (1996) studied this question.
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