References
- Barberis , N and Shleifer , A . 2003 . Style investing . Journal of Financial Economics , 68 : 161 – 99 .
- Barberis , N , Shleifer , A and Wurgler , J . 2005 . Comovement . Journal of Financial Economics , 75 : 283 – 317 .
- Bodurtha , J , Kim , D and Lee , C . 1995 . Closed-end country funds and US market Sentiment . Review of Financial Studies , 8 : 879 – 918 .
- Chen , H , Noronha , G and Singal , V . 2004 . The price response to S&P 500 index additions and deletions: evidence of asymmetry and a new explanation . Journal of Finance , 59 : 1901 – 29 .
- Coakley , J and Kougoulis , P . 2005 . Comovement and FTSE 100 index changes Essex Finance Centre Discussion Paper No. 04/13. Available at SSRN
- Froot , K and Dabora , E . 1999 . How are stock prices affected by the location of trade? . Journal of Financial Economics , 53 : 189 – 216 .
- Greenwood , R and Sosner , N . 2002 . Trade and the comovement of stock returns: evidence from Japan Harvard University . mimeo
- Kaul , A , Mehrotra , V and Morck , R . 2000 . Demand curves for stocks do slope down: new evidence from an index weights adjustment . Journal of Finance , 55 : 893 – 912 .
- Vijh , A . 1994 . S&P 500 trading strategies and stock betas . Review of Financial Studies , 7 : 215 – 51 .