Construct · 1 fields · 1 citations

excess comovement: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

co-movement of asset returns beyond what shared fundamentals justify, attributed to investors trading groups of assets together by category or habitat.

In asset pricing, excess comovement refers to co-movement of asset returns beyond what shared fundamentals justify, attributed to investors trading groups of assets together by category or habitat. This meaning comes from Barberis (2005) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs category4 fields · 4 citationsjingle · one word, four constructs

References

Barberis, N., Shleifer, A., & Wurgler, J. (2005). Comovement. Journal of Financial Economics, 75(2), 283-317. https://doi.org/10.1016/j.jfineco.2004.04.003

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