Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights

@article{Greenwood2008ExcessCO,
  title={Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights},
  author={R. Greenwood},
  journal={Review of Financial Studies},
  year={2008},
  volume={21},
  pages={1153-1186}
}
  • R. Greenwood
  • Published 2008
  • Economics
  • Review of Financial Studies
Relative to their weights in a value-weighted index, a number of stocks in Japan's Nikkei 225 stock index are overweighted by a factor of 10 or more. I document a strong positive relation between overweighting and the comovement of a stock with other stocks in the Nikkei index, and a negative relationship between index overweighting and comovement with stocks outside of the index. The cross-sectional approach resolves endogeneity problems associated with event study demonstrations of excess… Expand
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