Does style investing uniformly affect correlations in small and large markets?
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DOI: 10.1016/j.heliyon.2020.e04881
Abstract: 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… read more here.
Keywords: style investing; uniformly affect; investing uniformly; correlation distortions ... See more keywords