Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs

By B. Dumas, Campbell R. Harvey, P. Ruiz. 2003

177 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a50a7d9176871976040fb44d90f5ef036e179342

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Anna Pavlova
2. Roberto Rigobon
3. Richard Roll
4. Kuntara Pukthuanthong
5. Christian Upper
6. Heikki Lehkonen
7. B. Candelon
8. Avanidhar Subrahmanyam

In Finance

1. Anna Pavlova
2. Roberto Rigobon
3. Kuntara Pukthuanthong
4. Richard Roll
5. Heikki Lehkonen
6. Avanidhar Subrahmanyam
7. Christian Upper
8. Tarun Chordia

Citations in the corpus

• Global market integration: An alternative measure and its application (2009, background): “Dumas, Harvey, and Ruiz (2003) argue that stock market returns do not completely reflect economic fundamentals within each country.”
• Global Financial Cycles and Risk Premiums (2018, unknown): “1 Dumas et al. (2003) explain the excessive correlation of equity prices over fundamentals through the excessive volatility of a common stochastic discount factor.”
• The Role of Portfolio Constraints in the International Propagation of Shocks (2008, background): “2See Ammer and Mei (1996), Cochrane, Longstaff, and Santa-Clara (2007), Dumas, Harvey, and Ruiz (2003), Kodres and Pritsker (2002), and Kyle and Xiong (2001).”