Miguel Antón is with Department of Finance, IESE Business School. Christopher Polk is with Department of Finance, London School of Economics. We are grateful to Ken French, David Hsieh, and Bob Shiller for providing us with some of the data used in this study. We are deeply indebted to two anonymous referees, an Associate Editor, and the Editor, Cam Harvey, for numerous comments that significantly improved the paper. We are also grateful for comments from Andriy Bodnaruk, John Campbell, Randy Cohen, Jonathan Cohn, Owen Lamont, Augustin Landier, Dong Lou, Narayan Naik, Belén Nieto, Jeremy Stein, Dimitri Vayanos, Tuomo Vuolteenaho, and Paul Woolley, as well as from conference participants at the Summer 2008 LSE lunchtime workshop, Spring 2009 Harvard PhD brownbag lunch, 2010 HEC 2nd Annual Hedge Fund Conference, 2010 Paul Woolley Research Initiative Workshop, 2010 Spanish Finance Forum, 2010 WFA, 2010 EFA, 2010 Yale University Whitebox Graduate Student Conference, and 2010 Paul Woolley Conference, and seminar participants at Bristol University, IESE-ESADE, Imperial College, London School of Economics, and the University of Amsterdam. Financial support from the Paul Woolley Centre at the LSE is gratefully acknowledged. Antón also gratefully acknowledges support from the Fundación Ramón Areces, the European Commission (Project EMAIFAP–FP7-PEOPLE-2011-Marie Curie CIG (GA no. 303990)), and the Public-Private Sector Research Center at IESE Business School.
Article first published online: 8 MAY 2014
© 2014 the American Finance Association
The Journal of Finance
Volume 69, Issue 3, pages 1099–1127, June 2014
How to Cite
ANTÓN, M. and POLK, C. (2014), Connected Stocks. The Journal of Finance, 69: 1099–1127. doi: 10.1111/jofi.12149
- Issue published online: 8 MAY 2014
- Article first published online: 8 MAY 2014
- Accepted manuscript online: 20 FEB 2014 05:23PM EST
- Manuscript Accepted: 12 NOV 2013
- Manuscript Received: 1 APR 2010
- European Commission. Grant Number: Project EMAIFAP–FP7-PEOPLE-2011-Marie Curie CIG (GA no. 303990)
- Public-Private Sector Research Center at IESE Business School
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
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