Connected Stocks

Miguel Anton, () and Christopher Polk

FMG Discussion Papers from Financial Markets Group

Abstract: By connecting stocks through common active mutual fund ownership, we forecast cross-sectional variation in return covariance, controlling for similarity in style (industry, size, value, and momentum), the extent of common analyst coverage, andother pair characteristics. We argue this covariance is due to contagion based on re- turn decompostion evidence, cross-sectional heterogeneity in the extent of the e¤ect,and the magnitude of average abnormal returns to a cross-stock reversal trading strategy exploiting information in these connections. We show that the typical long/short hedge fund covaries negatively with this strategy suggesting that hedge funds may potentially exacerbate the price dislocation we document

Date: 2010-03
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.lse.ac.uk/fmg/workingPapers/discussionP ... _ConnectedStocks.pdf (application/pdf)

Related works:
Journal Article: Connected Stocks (2014)
Working Paper: Connected stocks (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fmg:fmgdps:dp651

Access Statistics for this paper

More papers in FMG Discussion Papers from Financial Markets Group
Bibliographic data for series maintained by The FMG Administration ().