Does program trading contribute to excess comovement of stock returns?
Year of publication: |
2020
|
---|---|
Authors: | Li, Mingyi ; Yin, Xiangkang ; Zhao, Jing |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 59.2020, p. 257-277
|
Subject: | Excess return comovement | Habitat investing | Program trading | Return reversal | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätzung | Estimation |
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