Comovement

Topics:
Investment and Capital Markets
Tags:
Correlation,
New York University,
Security
Source:
New York University

FREE Registration is required

Overview: A number of studies have identified patterns of positive correlation of returns, or co-movement, among different traded securities. We distinguish three views of such co-movement. The traditional fundamentals view explains the co-movement of securities through positive correlations in the rational determinants of their values, such as cash flows or discount rates. Category-based co-movement occurs when investors classify different securities into the same asset class and shift resources in and out of this class in correlated ways.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 352KB | Date: Nov 2001 | Pages: 38

People who downloaded this item also downloaded

White Paper Liquidity Commonality and Return Co-Movement
White Paper Does Idiosyncratic Risk Matter: Another Look
White Paper Idiosyncratic Volatility, Stock Market Volatility, And Expected Stock Returns
White Paper Idiosyncratic risk and volatility bounds, or Can models with idiosyncratic risk solve the equity premium puzzle?
White Paper Beyond Correlation: Extreme Co-movements Between Financial Assets

Top results from Investment and Capital Markets

White Paper Risk Analysis and Capital Adequacy of Hedge Funds
White Paper On the Performance of Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds
White Paper Intermediary Risk In The Indirect Holding System For Securities
White Paper Hedge Funds & Listed Options: Portfolio Management Strategies
White Paper European Asset Management Industry Set for Slower Profit Growth, According to Oliver, Wyman & Company and UBS Warburg

» View all Investment and Capital Markets listings

advertisement
advertisement
  • Click Here
  • Click Here
  • Click Here
advertisement

Returning users: Log In Here!

Already registered on BNET, TechRepublic, or ZDNet? Simply log in.

Free Membership: Sign Up Now!

Sign up for a free membership today and get instant and unlimited access to one of the largest databases of white papers, webcasts, and casestudies anywhere. Your FREE membership allows you to:

  • Download an unlimited amount of content, including classic and current white papers, case studies, webcasts and more
  • Track content on your chosen topics of interest
  • Receive targeted email alerts when your favorite content is added
  • Save content for future reading
  • Receive our member newsletter

When you register to access this directory, you become a member of BNET. In addition, you allow us to share your information with companies that produce products or services featured in the library--so that such companies may contact you with information and offers regarding their products and services. This enables us to keep the library a free service. As a directory registrant, you will receive a complimentary subscription to the BNET member newsletter, The BNET Report. You can unsubscribe from this newsletter at any time. By clicking the Sign up button, you indicate that you agree to our Terms and Conditions and have read and understand our Privacy Policy (updated).