Price-Based Return Comovement

By Clifton Green, Byoung-Hyoun Hwang. 2009

231 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a77a9dc10ef3b2d65183f384339f3fd1a3e6c6cf

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Citations in the corpus

An examination of investor sentiment effect on G7 stock market returns (2013, unknown): “For instance, Green and Hwang (2009) highlighted that small investors categorize stocks on the basis of price, as they observe the shift in comovement following splits to be greater for large and high-priced stocks when investor sentiment is high.”
Weather-Induced Mood, Institutional Investors, and Stock Returns (2015, methodology): “In particular, the sample standard deviation of the measure that uses a one-day window, which is most similar to the weather measure used by Hirshleifer and Shumway (2003), is 0.”
Attention allocation and return co-movement: Evidence from repeated natural experiments (2019, background): “Because gamblers in the stock market prefer stocks with low prices, high idiosyncratic volatility, and high idiosyncratic skewness (Barberis and Huang, 2008; Kumar, 2009; Green and Hwang, 2009, 2012), we tease out lottery-type features from retail preference as follows.”
Gold, Oil, and Stocks: Dynamic Correlations (2016, unknown): “Therewas awave of publications on co-movements in top-tier journals in s and Rigobon (2002), Greenwood (2008), Bekaert et al. (2009), Green and Hwang (2009), and Bekaert et al. is section we introduce studies that are more directly related to our analysis. old, oil, and stocks:Dynamic correlations,…”
Interconnectedness in the global financial market (2017, unknown): “For the following, it is important to note that the analysis of comovement across markets di ﬀ ers from the well understood properties of comovement within markets (see, e.g., Barberis et al., 2005; Green and Hwang, 2009).”
Culture and R 2 (2014, unknown): “, 2007; Karolyi, Lee, and van Dijk, 2012) and the literature that relies on behavioral factors to explain stock price co-movement (Barberis and Shleifer, 2003; Barberis et al., 2005; Baker and Wurgler, 2006; Kumar and Lee, 2006; Green and Hwang, 2009; Kumar et al., 2009).”
Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “10 Evidence suggesting that investor clienteles might lead to return comovement is also provided in Barberis, Shleifer, and Wurgler (2005), Pirinsky and Wang (2006), and Green and Hwang (2009).”
Nominal price illusion (2016, background): “Green and Hwang (2009) find that investors categorize stocks by nominal price, and Baker, Greenwood, and Wurgler (2009) find that firms exploit the fact that nominal prices matter to investors by increasing the supply of low-priced securities when investors are willing to pay a premium for them.”
Style investing, comovement and return predictability. (2013, unknown): “The existing empirical evidence (Barberis, Shleifer, and Wurgler, 2005; Greenwood, 2008; Green and Hwang, 2009; Boyer, 2011) suggests a relevant role for comovement.”