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Jurnal

Journal of Financial Economics

Keyword

Market efficiency; Nonfundamental comovement; Asset class demand; Time-varying betas

Pengarang

  1. Honghui chen
  2. Vijay singal
  3. Robert f. whitelaw

    Subject

    1. ECONOMIC
    2. FINANCIAL

      [Abstrak]



      Evidence of
      excessive comovement among stocks following index additions (Barberis,
      Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009)
      challenges traditional finance theory. We show that the bivariate regressions
      in this literature provide little information about the economic magnitude of
      excess comovement, with coefficients that are sensitive to unrelated factors.
      Using robust univariate regressions and matched control samples, almost all
      evidence of excess comovement disappears. In both examples, the stocks exhibit
      strong returns prior to the event, akin to momentum winners. We document that
      winner stocks exhibit increases in betas, generating much of the apparent
      excess comovement.



      Periode

      Vol 121, Nomor 3, Tahun 2016

      [Berkas]

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