Industry Classifications and Return Comovement

168 citations recorded by the source corpus.

Citations in the corpus

Referential kNN Regression for Financial Time Series Forecasting (2013, unknown): “In fundamental stock correlation analysis, the focus is on the investigation of stocks’ fundamental attributes [7], regardless of any numerical financial calculation.”
Improving Mean Variance Optimization through Sparse Hedging Restrictions (2015, unknown): “In particular, industry classifications often dominate statistical factor models in predicting stock return comovements (e.g., Connor (1995), Chan et al. (1999), Bhojraj, Lee, and Oler (2003), and Chan, Lakonishok, and Swaminathan (2007)).”
Board structure and survival of new economy IPO firms (2012, unknown): “…classification schemes report that the GICS classification system provides a better technique for identifying industry peers as compared to other well-known schemes such as SIC (Standard Industrial Classification) codes (Bhojraj, Lee and Oler, 2003; Chan, Lakonishok, and Swaminathan, 2007).”
Search Based Peer Firms: Aggregating Investor Perceptions through Internet Co-Searches (2015, unknown): “Earlier work such as Bhojraj et al. (2003) and Chan et al. (2007) provide evidence that GICS outperforms alternative industry classification schemes, suggesting, potentially, the usefulness of exploiting market perceptions of related firms.”