PT  - JOURNAL ARTICLE
AU  - Bradford. Cornell
TI  - Comovement as an Investment Tool
AID  - 10.3905/jpm.2004.412325
DP  - 2004 Apr 30
TA  - The Journal of Portfolio Management
PG  - 106--111
VI  - 30
IP  - 3
4099  - https://pm-research.com/content/30/3/106.short
4100  - https://pm-research.com/content/30/3/106.full
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.