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Comovement Analysis.pdf

barberis-etal.pdf
Preview of Comovement Analysis
🔗 Source: dash.harvard.edu
📊 Size: 383 KB
📄 Pages: 43 pages
⬇️ Downloads: 84

Summary

Barberis, Shleifer, and Wurgler (2005) identify three views of comovement among traded securities: the traditional "fundamentals" view, which explains comovement through positive correlations in rational determinants of values; "category-based" comovement, which occurs when investors classify securities into the same asset class and shift resources in correlated ways; and "habitat-based" comovement, which arises when a group of investors restricts its trading to a given set of securities and moves in and out of that set in tandem. The authors present models of each type of comovement and assess them empirically using data on stock inclusions in and deletions from the S&P 500 index, finding that category and habitat views are supported, but not the fundamentals view.

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Barberis, Shleifer, and Wurgler (2005) identify three views of comovement among traded securities: the traditional "fundamentals" view, which explains...

Technical Information

  • File Format: PDF
  • File Size: 383 KB
  • Pages: 43
  • Language: EN
  • Total Downloads: 84
  • Last Updated: 6 days ago

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