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ArticleAverage correlation and stock market returns

Joshua Matthew Pollet2010

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Articlegreen2010

Average correlation and stock market returns

Joshua Matthew Pollet · Mungo Ivor Wilson

259 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1973An Intertemporal Capital Asset Pricing Model 1997The Econometrics of Financial Markets 1987Expected stock returns and volatility 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

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2012Does Idiosyncratic Volatility Proxy for Risk Exposure?2012Quantifying the Behavior of Stock Correlations Under Market Stress 2015Partial correlation analysis: applications for financial markets 2024From Man vs. Machine to Man + Machine: The art and AI of stock analyses 2011How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements

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Year2010

Typearticle

Published2010-02-25

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations259

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2010.02.011

openalex_workW2589485205

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2019

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2015Review of Business and Economics

2014Correlation and network topologies in global and local stock indices