RT Journal Article
SR Electronic
T1 Comovement as an Investment Tool
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 106
OP 111
DO 10.3905/jpm.2004.412325
VO 30
IS 3
A1 Bradford. Cornell
YR 2004
UL https://pm-research.com/content/30/3/106.abstract
AB A new tool for discovering mispriced securities is based on an analysis of comovement in asset prices. Recent research demonstrates that comovement can be due to both the trading patterns of noise traders and underlying economic fundamentals. As comovement can be measured much more accurately than expected returns, it can be used to identify securities for which the influence of noise traders is high and thus the securities most likely subject to mispricing. Analysis of comovement is a screening device that can provide important information about potential mispricing.