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|Title:||R2 and the economy||Authors:||Morck, R.
stock returns comovement
|Issue Date:||Nov-2013||Citation:||Morck, R., Yeung, B., Yu, W. (2013-11). R2 and the economy. Annual Review of Financial Economics 5 : 143-166. ScholarBank@NUS Repository. https://doi.org/10.1146/annurev-financial-110112-120936||Abstract:||The characterization of firm-specific return volatility as the intensity with which firm-specific events occur reconciles many seemingly discordant results. A functionally efficient stock market allocates capital to its highest value uses, which often amounts to financing Schumpeterian creative destruction, wherein creative winner firms outpace destroyed losers, who could be the previous year's winners. This rise in firm-specific fundamentals volatility elevates firm-specific return volatility in a sufficiently informationally efficient stock market. These linkages are interconnected feedback loops rather than unidirectional chains of causality. Copyright © 2013 by Annual Reviews. All rights reserved.||Source Title:||Annual Review of Financial Economics||URI:||http://scholarbank.nus.edu.sg/handle/10635/115898||ISSN:||19411367||DOI:||10.1146/annurev-financial-110112-120936|
|Appears in Collections:||Staff Publications|
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