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Dynamic network and own effects on abnormal returns: evidence from China’s stock market
This paper addresses the question of how to model the process of abnormal returns on individual stocks. It postulates a framework, where abnormal returns are generated by a process which features two autoregressive components, one stock-specific and one related to network effects. This process devia...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7870643/ https://www.ncbi.nlm.nih.gov/pubmed/33603276 http://dx.doi.org/10.1007/s00181-020-01979-0 |