Comovement revisited

• 成果类型: Article
• 署名作者: Chen, Honghui; Singal, Vijay; Whitelaw, Robert F.
• 署名单位: State University System of Florida; University of Central Florida; Virginia Polytechnic Institute & State University; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.05.007
• 发表日期: 2016
• 页码: 624-644
• 关键词: Market efficiency; Nonfundamental comovement; Asset class demand; Time-varying betas

摘要

Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009) challenges traditional finance theory. We show that the bivariate regressions in this literature provide little information about the economic magnitude of excess comovement, with coefficients that are sensitive to unrelated factors. Using robust univariate regressions and matched control samples, almost all evidence of excess comovement disappears. In both examples, the stocks exhibit strong returns prior to the event, akin to momentum winners. We document that winner stocks exhibit increases in betas, generating much of the apparent excess comovement. (C) 2016 Elsevier B.V. All rights reserved.