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...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2011
|
| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/5172 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6171/viewcontent/SSRN_id1785390.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Singapore Management University |
| 語言: | English |