Abnormal returns or mismeasured risk? Network effects and risk spillover in stock returns
Year of publication: |
2019
|
---|---|
Authors: | Bhattacharjee, Arnab ; Roy, Sudipto |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 12.2019, 2, p. 1-13
|
Publisher: |
Basel : MDPI |
Subject: | Fama-French factor model | market microstructure | trading behavior | panel data factor model | social network model | risk spillover | abnormal returns |
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