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Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights
16 references·16 citing·36 second hopsampled
Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights (2007)Excess Comovement of Stock Returns: Evide…The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Market Integration and Contagion (2005)Market Integration and Contag…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The relationship between return and market value of common stocks (1981)The relationship between retu…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…The Equilibrium Consequences of Indexing (2021)The Equilibrium Consequences …Hedging demand and market intraday momentum (2021)Hedging demand and market int…Short-Term Investors, Long-Term Investments, and Firm Value: Evidence from Russell 2000 Index Inclusions (2020)Short-Term Investors, Long-Te…Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan (2019)Quantitative Easing and Equit…Aggregate investor sentiment and stock return synchronicity (2019)Aggregate investor sentiment …Indexing and stock market serial dependence around the world (2018)Indexing and stock market ser…Empirical Investigation of an Equity Pairs Trading Strategy (2017)Empirical Investigation of an…Commonality in Liquidity: A Demand-Side Explanation (2016)Commonality in Liquidity: A D…How Important Are Foreign Ownership Linkages for International Stock Returns? (2015)How Important Are Foreign Own…Gold, Oil, and Stocks: Dynamic Correlations (2015)Gold, Oil, and Stocks: Dynami…Facts and Fantasies about Commodity Futures Ten Years Later (2015)Facts and Fantasies about Com…Sell‐Side Analyst Research and Stock Comovement (2014)Sell‐Side Analyst Research an…Style investing, comovement and return predictability (2012)Style investing, comovement a…Investor Sentiment and Return Comovements: Evidence from Stock Splits and Headquarters Changes (2012)Investor Sentiment and Return…Portfolio choice, attention allocation, and price comovement (2010)Portfolio choice, attention a…Trading imbalances, predictable reversals, and cross-stock price pressure (2008)Trading imbalances, predictab…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law and Finance (1998)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)R2 around the world: New theory and new tests☆ (2005)Does board gender diversity improve the informativeness of stock prices? (2011)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2005Market Integration and Contagion1,061 cited
  • Cited by

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    • 2015Gold, Oil, and Stocks: Dynamic Correlations139 cited
    • 2012Style investing, comovement and return predictability130 cited
    • 2017Empirical Investigation of an Equity Pairs Trading Strategy113 cited
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    • 2021Hedging demand and market intraday momentum98 cited
    • 2019Aggregate investor sentiment and stock return synchronicity93 cited
    • 2018Indexing and stock market serial dependence around the world89 cited
    • 2014Sell‐Side Analyst Research and Stock Comovement83 cited
    • 2019Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan81 cited
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    • 2021The Equilibrium Consequences of Indexing76 cited