Showing 1 - 10 of 13,949
Persistent link: https://www.econbiz.de/10011899979
Persistent link: https://www.econbiz.de/10012593905
Persistent link: https://www.econbiz.de/10009613327
Persistent link: https://www.econbiz.de/10003769513
Persistent link: https://www.econbiz.de/10011495120
Persistent link: https://www.econbiz.de/10011409175
We identify all return leader-follower pairs among individual stocks using Granger causality regressions. Thus-identified leaders can reliably predict their followers' returns out of sample, and the return predictability works at the level of individual stocks rather than industries. Our results...
Persistent link: https://www.econbiz.de/10013007526
Persistent link: https://www.econbiz.de/10012603773
Persistent link: https://www.econbiz.de/10012494647
Persistent link: https://www.econbiz.de/10011714274