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Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings

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  • Farrell, James L, Jr

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  • Farrell, James L, Jr, 1974. "Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings," The Journal of Business, University of Chicago Press, vol. 47(2), pages 186-207, April.
    • Handle: RePEc:ucp:jnlbus:v:47:y:1974:i:2:p:186-207
    DOI: 10.1086/295630
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    Cited by:

    1. Zuriadah Ismail & Mohd Nazir Md Zabit & Mohamad Ali Roshidi Ahmad & Anuar Sarun & Sharul Effendy Janudin, 2017. "The Effect of Switching Business Focus on Share Returns Predictability," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(12), pages 25-38, December.
    2. Dolinar, Denis & Orsag, Silvije & Suman, Paola, 2015. "Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 185-196.
    3. Martin Širůček, 2013. "Impact of money supply on stock bubbles," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2835-2842.
    4. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.
    5. Rajan, Murli & Friedman, Joseph, 1997. "An examination of the impact of country risk on the international portfolio selection decision," Global Finance Journal, Elsevier, vol. 8(1), pages 55-70.
    6. Michael S. H. Shih, 1994. "Corporate Tax Incentives for Conglomerate Mergers: Model Development and Empirical Evidence," Contemporary Accounting Research, John Wiley & Sons, vol. 10(2), pages 453-481, March.
    7. Merton, Robert C., 1993. "On the microeconomic theory of investment under uncertainty," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669, Elsevier.
    8. Bruzda, Joanna, 2017. "Real and complex wavelets in asset classification: An application to the US stock market," Finance Research Letters, Elsevier, vol. 21(C), pages 115-125.
    9. Mason, Andrew & Agyei-Ampomah, Sam & Skinner, Frank, 2016. "Realism, skill, and incentives: Current and future trends in investment management and investment performance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 31-40.
    10. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581, Elsevier.
    11. Patrick McGuire & Martijn A Schrijvers, 2003. "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
    12. Don M. Chance & William R. Lane, 1980. "A Re-Examination Of Interest Rate Sensitivity In The Common Stocks Of Financial Institutions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 49-55, March.
    13. Andrew Mason & Frank McGroarty & Steve Thomas, 2013. "Complementary or contradictory? Combining returns-based and characteristics-based investment style analysis," Journal of Asset Management, Palgrave Macmillan, vol. 14(6), pages 423-438, December.
    14. R. Penny Marquette & Dana Johnson, 1980. "Ridge Regression And The Multicollinearity Problem In Financial Research: A Case Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 33-47, March.
    15. To, Minh Chau & Assoé, Kodjovi Gakpo, 1995. "Performance et commission de souscription des fonds mutuels canadiens," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(1), pages 27-52, mars.
    16. Andy Fodor & Randy D. Jorgensen & John D. Stowe, 2021. "Financial clusters, industry groups, and stock return correlations," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(1), pages 121-144, April.
    17. Jon Poynter & James Winder & Tzu Tai, 2015. "An analysis of co-movements in industrial sector indices over the last 30 years," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 69-88, January.
    18. Son-Non Chen & John D. Martin, 1980. "Beta Nonstationarity And Pure Extra-Market Covariance Effects On Portfolio Risk," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 269-282, September.
    19. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    20. Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022. "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers 2201.08283, arXiv.org.
    21. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
    22. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu [Money supply and US stock market causality]," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.
    23. Casarin Roberto & Peruzzi Antonio, 2024. "A Dynamic Latent-Space Model for Asset Clustering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 379-402, April.
    24. Heuts, R.M.J., 1978. "Portfolio models and time series analysis," Other publications TiSEM 48458631-edc8-42e9-8359-4, Tilburg University, School of Economics and Management.

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