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Comovement Revisited
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Recent evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009)
Comovement Revisited
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We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S & P 500 index when the estimated factor model is that of F
Agency Revisited
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ICASI 2020
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As an annual event, The 3rd INTERNATIONAL CONFERENCE ON ADVANCE & SCIENTIFIC INNOVATION (ICASI) 2020 continued the agenda to bring together researcher, academic
The Comovement in Commodity Prices
Language: en
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Authors: Mr.Ron Alquist
Categories: Business & Economics
Type: BOOK - Published: 2013-06-05 - Publisher: International Monetary Fund

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We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commoditi