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Trading Patterns and Excess Comovement of Stock Returns
Language: en
Pages:
Authors: Nathan Sosner
Categories:
Type: BOOK - Published: 2009 - Publisher:

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In April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the effects of index-linked tradin
Excess Comovement of Stock Returns
Language: en
Pages:
Authors: Robin M. Greenwood
Categories:
Type: BOOK - Published: 2010 - Publisher:

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Relative to their weights in a value-weighted index, a number of stocks in Japan's Nikkei 225 stock index are overweighted by a factor of 10 or more. I document
Trade and the Comovement of Stock Returns
Language: en
Pages: 59
Authors: Nathan Sosner
Categories:
Type: BOOK - Published: 2009 - Publisher:

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In April 2000, in one day, 30 stocks were replaced in the Nikkei 225 index in Japan. We analyze the change in comovement of returns of stocks added to and delet
Additions to Market Indices and the Comovement of Stock Returns Around the World
Language: en
Pages: 36
Authors: Yishay Yafeh
Categories: Business & Economics
Type: BOOK - Published: 2011-03-01 - Publisher: International Monetary Fund

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Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an
Sentiment Or Sentiment-Related Feedback? Explaining the Persistent Pattern of Excess Comovement in China
Language: en
Pages: 43
Authors: Jing Yao
Categories:
Type: BOOK - Published: 2014 - Publisher:

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This paper investigates how individual investor trading can cause stock prices to move for reasons unrelated to fundamentals. We use a sample of dual-listed sto