Average Correlation and Stock Market Returns

By Joshua Pollet, Mungo Wilson. 2010

209 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b605ba0a6630f969d034a31b04769eb7e7403d6c

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. Zhanhui Chen
2. Ralitsa Petkova

In Finance

1. Zhanhui Chen
2. Ralitsa Petkova
3. Avanidhar Subrahmanyam
4. Alexander Kurov
5. John E. Core
6. David Bowen
7. Mark C. Hutchinson

Citations in the corpus

• Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, background): “Also, as Lewellen, Nagel, and Shanken (2010) point out, it is important to expand the set of test assets when a couple of factors seem to explain nearly all of the variation in returns.”
• Asset Pricing: A Tale of Two Days (2014, unknown): “Savor and Wilson (2014) show that imprecise signals of aggregate earnings growth can rationalize the otherwise puzzling earnings announcement premium (Beaver, 1968; Chari, Jagannathan and Ofer, 1988; Ball and Kothari, 1991; Cohen, Dey, Lys, and Sunder, 2007; and Frazzini and Lamont, 2007).”