Pairwise correlations
Pairwise stock correlations increase by 27% on average when stock returns are negative. It is trading activity in small stocks that leads to higher correlations when returns are negative. We provide evidence consistent with the hypothesis that co-ordinated selling by retail investors drives this asy...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5172 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6171/viewcontent/SSRN_id1785390.pdf |
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| Institution: | Singapore Management University |
| Language: | English |