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Andrea GHENO 1 and Stephen L. LEE 2

1 Department of Economics, University of Rome III, Via Silvio D'Amico 111, 00145, Rome, Italy. E-mail: gheno@uniroma3.it

2 Faculty of Finance, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK. E-mail: Stephen.Lee.1@city.ac.uk

Received 25 August 2006; accepted 6 November 2006