Kim, Jin Woong; Bessler, David A. - In: Applied Financial Economics 17 (2007) 8, pp. 635-646
This article considers innovation accounting using an Error Correction Model and Directed Acyclical Graphs (DAGs) on 10 Global Industry Classification Standard (GICS) aggregations of daily US equity values over the years 1995 to 2003. The GICS equity aggregates studied are: Consumer...