Eckel, Stefanie Martina; Löffler, Gunter; Maurer, Alina; … - 2009
correlations of returns are due to geographical proximity or to the simple
fact that two firms are located in the same federal … federal states we would expect no increase
in residual correlation (0.030−0.043 = −0.013) despite their geographical proximity … significance level
for any of the distance classes and conclude that correlation of stock returns due to
geographical proximity is …