Of shepherds, sheep, and the cross-autocorrelations in equity returns
We present an economic mechanism and supportive empirical evidence for the transmission of information between equity securities first documented by Lo and MacKinlay (1990). It is argued that the past returns on stocks held by informed institutional traders will be positively correlated with the con...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
1995
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