Additions to Market Indices and the Comovement of Stock Returns Around the World

Additions to Market Indices and the Comovement of Stock Returns Around the World
Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms' returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon READ MORE...

Publication date: March 2011
ISBN 9781455218950
$18.00

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