Additions to Market Indices and the Comovement of Stock Returns Around the World /
Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms' returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock tur...
| 第一著者: | |
|---|---|
| その他の著者: | |
| フォーマット: | 雑誌 |
| 言語: | English |
| 出版事項: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| シリーズ: | IMF Working Papers; Working Paper ;
No. 2011/047 |
| オンライン･アクセス: | Full text available on IMF |