Coakley, Jerry; Kougoulis, Periklis; Nankervis, John C. - In: International Journal of Behavioural Accounting and Finance 4 (2014) 2, pp. 93-112
We employ the Barberis et al. (2005) methodology to investigate the impact of changes to the FTSE 100 index on return comovement 1992-2002. For FTSE entries, the average weekly increase in the beta coefficient is 0.38 in univariate regressions and 0.60 in bivariate regressions that control for...
