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Time-Series and Cross-Sectional Excess Comovement in Stock Indexes
2003
Social Science Research Network
This paper is an empirical investigation of the excess comovement of industry indexes in the U.S. stock market over the period January 1973 to December 2001. We define excess comovement as the correlation between two assets beyond what could be explained by fundamental factors. In our analysis, the fundamental factors are sector groupings and the three Fama-French factors. We then estimate excess comovement as the mean absolute correlation of residuals of univariate (OLS) or joint (FGLS)
doi:10.2139/ssrn.407761
fatcat:zenhxmg5qnecjib5qpq4fow5mm