Why asset returns tend to co‐move with each other is a little understood

phenomenon. This project will empirically investigate how information affects

excessive asset comovement and mispricing. The major reason information‐based co‐movement has not been well‐understood is due to the difficulty researchers have faced in measuring the timing of information events and information flow. Using the Capital IQ Key Developments dataset to measure information events, we will attempt to determine what characteristics of information markets that lead to excessive co‐movement (using theoretical framworks developed in Veldkamp (2006) and Peng and Xiong (2006) among others), and what the magnitude and implications of these effects are on a world‐wide basis. 

July 2015

April 2015

July 2014

April 2014