Glossary

Return Smoothing

An empirical artifact arising in illiquid or model-appraised assets where new valuation information is incorporated gradually, inducing positive serial autocorrelation and artificially dampening measured volatility.

Source: Illiquidity Premium and Credit Risk in Brazilian Receivables Investment Funds (FIDCs): Theoretical Foundations, Regulatory Architecture and a Measurement Agenda (Academic research) · p.12

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