Essays about: "Excess comovement"
Found 3 essays containing the words Excess comovement.
-
1. Interpreting Sensitivity
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The standard interpretation of aggregate excess sensitivity is that it represents the economy share of non-Ricardian households. However, household level evidence suggests that excess sensitivity can also be explained by the comovement of consumption and income over the lifetime, which occurs due to retirement and changes in household size. READ MORE
-
2. Excess Comovement by Index Events: An Extension to the Swedish Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Using momentum and fundamental changes as control variables for stocks subject to index events have shown to disprove previous evidence of excess comovement (Chen et al, 2016, Kasch and Sarkar, 2014, Von Drathen, 2014). This thesis examines if the control variables disprove excess comovement, to the same extent, when examining an index on another stock market outside the U. READ MORE
-
3. A Study of the Excess Comovement on the Swedish Stock Market 1985-2003
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper is focused on two phenomenons that is called excess comovement and financial contagion. The excess comovement is defined as the comovement, or correlation, between normally uncorrelated assets, that can not be explained by economic fundamentals and financial contagion is the occurrence of excess comovement. READ MORE