Brian H. Boyer is with Brigham Young University. I thank Barra for providing data on index constituents. Barra Inc. is an investment software and research company, and the data have been provided as part of a broad academic program to foster the study of investment technology. The author thanks John Ammer, Brandon Bates, Joseph Chen, Michael Gibson, Lars Lefgren, Grant McQueen, Todd Mitton, Matt Pritsker, Brian Reid, Tyler Shumway, Clemens Sialm, Wilbert Van Der Klaauw, Keith Vorkink, Jonathan Wright, Kathy Yuan, Lu Zheng, and seminar participants at Brigham Young University and the University of Michigan Business School for helpful comments. The author particularly thanks Rob Stambaugh (the editor) and an anonymous referee for providing many helpful suggestions. This paper previously circulated under the title “Comovement among Stocks with Similar Book-to-Market Ratios.
Style-Related Comovement: Fundamentals or Labels?
Version of Record online: 6 JAN 2011
© 2011 the American Finance Association
The Journal of Finance
Volume 66, Issue 1, pages 307–332, February 2011
How to Cite
BOYER, B. H. (2011), Style-Related Comovement: Fundamentals or Labels?. The Journal of Finance, 66: 307–332. doi: 10.1111/j.1540-6261.2010.01633.x
- Issue online: 6 JAN 2011
- Version of Record online: 6 JAN 2011
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