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Cambridge Endowment for Research in Finance (CERF)



PI: Professor Raghavendra  Rau (CJBS)

Project Title: What Causes Asset Co-Movement

Project Summary:
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.

Project Period: 1.9.2013-31.12.14

End of Award report - July 2015

Project Update - April 2015

Project Update - July 2014

Project Update - April 2014