Kallberg, Jarl; Pasquariello, Paolo - In: Journal of Empirical Finance 15 (2008) 3, pp. 481-502
This paper is an empirical investigation of the excess comovement among 82 industry indexes in the U.S. stock market between January 5, 1976 and December 31, 2001. We define excess comovement as the covariation between two assets beyond what can be explained by fundamental factors. In our...