Does style investing uniformly affect correlations in small and large markets?
Empirical and theoretical research concurs to show that style investing increases return correlations within assets that are classified into the same style. The theoretical model presented in this study addresses the question of how the correlation increases due to style investing depend on market s...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-09-01
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| Series: | Heliyon |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844020317242 |