Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights

By Robin Greenwood. 2008

182 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ce0f6e49021066ec21add07d67efc5507aee74e3

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Citations in the corpus

Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “…on the influence of investors, particularly institutional investors, on stock returns.9 In terms of the impact of investors’ correlated trading on returns, Greenwood (2009) shows that common trading patterns of index investors can give rise to substantial excess comovement of stock returns.”
Price-Based Return Comovement (2009, background): “…Barberis, Shleifer, and Wurgler (2005) find that stocks added to the S&P 500 index begin to covary mo e with other members of the index, and Greenwood (2008) finds similar evidence for the Nikkei 225.2 Also, Pirinsky and Wang (2006) find that stocks in the same geographical area move…”
Style investing, comovement and return predictability. (2013, unknown): “Barberis, Shleifer, and Wurgler (2005) and Greenwood (2008) follow such an identification strategy.”
Trading imbalances, predictable reversals, and cross-stock price pressure (2008, background): “…that study the dynamic interaction between liquidity providers and liquidity demanders include DeLong, Shleifer, Summers, and Waldman (1990a, b), Campbell, Grossman, and Wang (1993), Madhavan and Smidt (1993), Spiegel and Subrahmanyam (1995), Barberis and Shleifer (2003), and Greenwood (2007).”
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,…”
Exchange Traded Funds and Asset Return Correlations (2013, methodology): “Examples include Greenwood & Thesmar (2011), Anton & Polk (2014) and Bartram, Griffin, Lim, & Ng (2015). To the extent that institutions have some discretion in deciding when and what to trade, ETF arbitrage is more likely to drive return comovement among its component stocks. Indeed, while the ETF ”