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Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings

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  • Farrell, James L, Jr
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    Bibliographic Info

    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 47 (1974)
    Issue (Month): 2 (April)
    Pages: 186-207

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    Handle: RePEc:ucp:jnlbus:v:47:y:1974:i:2:p:186-207

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    Web page: http://www.journals.uchicago.edu/JB/

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    Cited by:
    1. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.
    2. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier.
    3. To, Minh Chau & Assoé, Kodjovi Gakpo, 1995. "Performance et commission de souscription des fonds mutuels canadiens," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(1), pages 27-52, mars.
    4. Rajan, Murli & Friedman, Joseph, 1997. "An examination of the impact of country risk on the international portfolio selection decision," Global Finance Journal, Elsevier, vol. 8(1), pages 55-70.
    5. Sirucek, Martin, 2013. "Impact of money supply on stock bubbles," MPRA Paper 51476, University Library of Munich, Germany.
    6. Merton, Robert C., 1993. "On the microeconomic theory of investment under uncertainty," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669 Elsevier.
    7. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
    8. Patrick McGuire & Martijn A Schrijvers, 2003. "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.

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