Does program trading contribute to excess comovement of stock returns?
Li, Mingyi, Yin, Xiangkang and Zhao, Jing 2020, Does program trading contribute to excess comovement of stock returns?, Journal of empirical finance, vol. 59, pp. 257-277, doi: 10.1016/j.jempfin.2020.11.001.
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Does program trading contribute to excess comovement of stock returns?
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