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We present empirical evidence that the innovation in global equity correlation is a viable pricing factor in international markets. We develop a stylized model to motivate why this is a… Click to show full abstract
We present empirical evidence that the innovation in global equity correlation is a viable pricing factor in international markets. We develop a stylized model to motivate why this is a reasonable ...
Keywords:
equity correlation;
international markets;
global equity;
correlation international
Journal Title: Management Science
Year Published: 2021
Link to full text (if available)
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Journal Title: Management Science
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!