Ấn phẩm:
R-squared as the measure of return synchronicity: A review of empirical literature
Tóm tắt
As mentioned in Roll (1988), the maturity of science is defined by its forecasting ability of the phenomenon. In finance, stock return is, perhaps, the most important phenomenon that captures the attention of many stakeholders. However, our ability to predict it is highly limited. The ability to predict a phenomenon depends on the availability of information about it. Financial literature commits huge sources to quantify the extent to which stock return reflects the available information. One of the streams of literature relies on the variation of an individual stock return that calls stock return synchronicity to measure the information contention of stock price. This paper summarizes what we have known about return synchronicity and suggests potential research areas in developing markets
Mô tả
Tác giả
Nguyen Truong Giang PhD
Vu Thi Phuong Lien PhD
Vu Thi Phuong Lien PhD
Tác giả khác
Người hướng dẫn
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Nhà xuất bản
Học viện Tài chính
Năm xuất bản
2023
ISSN tạp chí
Nhan đề tập
Từ khóa chủ đề
R-squared , Stock return synchronicity , Co-movement , Information
Địa chỉ truy cập
Vui lòng sử dụng ứng dụng DRM AOF để đọc tài liệu số
