Results 321 to 330 of about 557,330 (331)

CO‐MOVEMENTS IN INTERNATIONAL EQUITY MARKETS

Journal of Financial Research, 1997
AbstractWe examine the co‐movements of equity returns in four major international markets by characterizing the time‐varying cross‐country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S.
Salim M. Darbar, Partha Deb
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Co-movements of OECD growth cycles

Applied Economics, 1997
The study is of short-run and long-run co-movements and convergence across 21 OECD real per capita outputs on a sample period spanning 1960 to 1992 using dynamic principal components analysis and coherence analysis. We reject the hypothesis of convergence, but find evidence for long-run growth cycles closely related across countries. In particular, the
D'Amato M., PISTORESI, Barbara
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Earnings co-movements and earnings manipulation

Review of Accounting Studies, 2017
This study develops a theory that predicts the lower the degree to which firms’ earnings are correlated with the industry the greater the probability a firm will issue a biased signal of firm performance. The theory provides for causal predictions in our empirical tests in which we examine the probability a firm will be subject to an Accounting and ...
Andrew B. Jackson, Brian R. Rountree, Konduru Sivaramakrishnan   +2 more
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Mining Multiple Time Series Co-movements

2008
In this paper, we propose a new model, called co-movement model, for constructing financial portfolios by analyzing and mining the co-movement patterns among multiple time series. Unlike the existing approaches where the portfolios' expected risks are computed based on the co-variances among the assets in the portfolios, we model their risks by ...
Di Wu, Gabriel Pui Cheong Fung, Jeffrey Xu Yu, Zheng Liu   +3 more
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Cohort Effects on Expected Co-Movement

SSRN Electronic Journal, 2022
William N. Goetzmann, Akiko Watanabe, Masahiro Watanabe   +2 more
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Ecological Co-Movements of Cryptoassets

SSRN Electronic Journal, 2022
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Currency Basket Co-movements

Geert Bekaert, Andrey Ermolov
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Introducing the Finance Co-movement Slope

SSRN Electronic Journal, 2022
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Asset co-movements: Features and challenges

2017
This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics.
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Style Investing, Momentum, and Co-movement

Chunchi Wu, Xinyuan Tao
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