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Trading Patterns and Excess Comovement of Stock Returns
16 references·12 citing·43 second hop
Trading Patterns and Excess Comovement of Stock Returns (2007)Trading Patterns and Excess Comovement of…The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation (2004)The Price Response to S&P 500…Does Arbitrage Flatten Demand Curves for Stocks? (2002)Does Arbitrage Flatten Demand…Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Trading Volume: Definitions, …How are stock prices affected by the location of trade? (1999)How are stock prices affected…A non-random walk down Wall Street (1999)A non-random walk down Wall S…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…A Review of Financial Studies (1) (1994)A Review of Financial Studies…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…The journal of financial economics (1993)The journal of financial econ…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…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The annual report tone and return Comovement—Evidence from China's stock market (2023)The annual report tone and re…Institutional investors' site visits, market attention, and stock market information efficiency—Evidence from stock price synchronicity (2022)Institutional investors' site…Asset pricing with index investing (2021)Asset pricing with index inve…The effect of ETFs on financial markets: a literature review (2020)The effect of ETFs on financi…Passive Institutional Ownership, R2 Trends, and Price Informativeness (2017)Passive Institutional Ownersh…Do bond credit ratings lead to excess comovement? (2017)Do bond credit ratings lead t…Exchange Traded Funds (ETFs) (2016)Exchange Traded Funds (ETFs)Comovement revisited (2016)Comovement revisitedFacts and Fantasies About Commodity Futures Ten Years Later (2015)Facts and Fantasies About Com…Comovement of Newly Added Stocks with National Market Indices: Evidence from Around the World (2012)Comovement of Newly Added Sto…Excess Comovement in International Equity Markets: Evidence from Cross-border Mergers (2009)Excess Comovement in Internat…Catering Through Nominal Share Prices (2008)Catering Through Nominal Shar…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 (1965)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)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)The Adjustment of Stock Prices to New Information (1969)Principles of Corporate Finance. (1981)Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)The Adjustment of Stock Prices to New Information (2003)Comovement (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Economic Forces and the Stock Market (1986)Dividend yields and expected stock returns (1988)Noise Trader Risk in Financial Markets (1990)Herding and Feedback Trading by Institutional and Individual Investors (1999)Retail Investor Sentiment and Return Comovements (2006)Does Academic Research Destroy Stock Return Predictability? (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)The Equity Share in New Issues and Aggregate Stock Returns (2000)Sports Sentiment and Stock Returns (2007)Individual Investor Trading and Stock Returns (2008)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1993The journal of financial economics2,544 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1991Investor Sentiment and the Closed‐End Fund Puzzle1,284 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 1994A Review of Financial Studies (1)885 cited
  • 2002Does Arbitrage Flatten Demand Curves for Stocks?861 cited
  • 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory694 cited
  • 1999A non-random walk down Wall Street647 cited
  • 2004The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation600 cited
  • 1999

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How are stock prices affected by the location of trade?
550 cited

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  • 2020The effect of ETFs on financial markets: a literature review71 cited
  • 2012Comovement of Newly Added Stocks with National Market Indices: Evidence from Around the World66 cited
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  • 2015Facts and Fantasies About Commodity Futures Ten Years Later36 cited
  • 2021Asset pricing with index investing30 cited
  • 2023The annual report tone and return Comovement—Evidence from China's stock market25 cited
  • 2008Catering Through Nominal Share Prices25 cited
  • 2022Institutional investors' site visits, market attention, and stock market information efficiency—Evidence from stock price synchronicity24 cited
  • 2017Passive Institutional Ownership, R2 Trends, and Price Informativeness23 cited
  • 2017Do bond credit ratings lead to excess comovement?23 cited
  • 2009Excess Comovement in International Equity Markets: Evidence from Cross-border Mergers22 cited