TY - UNPB
T1 - Additions to market indices and the Comovement of stock returns around the world
AU - Claessens, Stijn
AU - Yafeh, Yishay
N1 - Description based upon print version of record.
PY - 2011
Y1 - 2011
N2 - 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 inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that informatio
AB - 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 inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that informatio
U2 - 10.5089/9781455218950.001
DO - 10.5089/9781455218950.001
M3 - מסמך עבודה
T3 - IMF Working Paper
BT - Additions to market indices and the Comovement of stock returns around the world
PB - International Monetary Fund
CY - Washington, District of Columbia
ER -