Poynter, Jon; Winder, James; Tai, Tzu - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 69-88
This paper analyses the Dow Jones daily industry sector total return indices for the last 18 years and the Data Stream daily industry sector price indices over the past 30 years. We show how broad movements in both sets of data can be described in terms of five underlying variables and how...