Industry Classifications and Return Comovement-Reference-Cited by-同舟云学术

Industry Classifications and Return Comovement

Published:2007-11 Issue:6 Volume:63 Page:56-70
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Chan Louis K.C.¹,Lakonishok Josef²,Swaminathan Bhaskaran³

Affiliation:

1. Louis K.C. Chan is Hoeft Professor of Finance at the University of Illinois, Urbana-Champaign.

2. Josef Lakonishok is professor of finance at the University of Illinois, Urbana-Champaign.

3. Bhaskaran Swaminathan is partner and director of research at LSV Asset Management, Chicago, and professor of finance at Cornell University, Ithaca, New York.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v63.n6.4927

Reference30 articles.

1. The Growth of Executive Pay

2. What's My Line? A Comparison of Industry Classification Schemes for Capital Market Research

3. Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing

4. Mutual fund styles

5. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

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