Local demand shocks, excess comovement and return predictability
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DOI: 10.1016/j.jbankfin.2020.105910
Abstract: Abstract I investigate the importance of local demand shocks on excess comovements and return predictability for 4560 twin-pairs of Exchange-Traded Funds (ETFs) from 15 country-pairs. The returns on ETFs traded in the same country comove… read more here.
Keywords: return predictability; shocks excess; local demand; demand shocks ... See more keywords