haku: @author Fedenia, M. / yhteensä: 3
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| Tekijä: | Fedenia, M. Hodder, J. E. Triantis, A. J. |
| Otsikko: | Cross-holdings: estimation issues, biases, and distortions. |
| Lehti: | Review of Financial Studies
1994 : SPRING, VOL. 7:1, p. 61-96 |
| Asiasana: | SECURITIES COMPANIES MARKETS |
| Kieli: | eng |
| Tiivistelmä: | Cross-holding occurs when listed corporations own securities issued by other corporations. The effect of cross-holdings on market capitalization and return measures is analyzed as well as implications for econometric testing of asset pricing theories. It is shown that cross-holdings generally distort standard market return and risk measures. The magnitudes of such distortions are calculated for simulated economies by using a variety of cross-holding patterns. In addition, cross-holdings are shown to induce nonstationarity in the covariance matrix of security returns. |
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