Concepedia

Time-series and cross-sectional excess comovement in stock indexes

Jarl G. Kallberg, Paolo Pasquariello

Journal of Empirical Finance · 2007 · 123 citations · 85 references

DOI

Concepts

References

85

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

, , +12

The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text

, , +16

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.5K citations

, , +17

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

, , +12

The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Trevor Breusch, A. R. Pagan · The Review of Economic Studies · 1980 · 8.7K citations

, , +9