![]() A "peripheral peer momentum" strategy that uses only peripheral stocks’ influence for weighting in the signal construction achieves an annualized Sharpe ratio of 0.65, survives a battery of robustness tests, and helps explain industry momentum. Using our network and composite centrality estimates, we develop "peer momentum" trading strategies, which sort stocks on their industry peers’ past month average returns weighted by the peers’ influence in the industry. ![]() ![]() Daniela works at Federal Reserve Bank Of Richmond as Manager & Financial Economist. We develop a stock-level composite centrality measure that captures multiple dimensions of a stock’s interdependence with its industry peers. Jeremy Shada ( / ed /) is an American actor, musician and singer. View Daniela Scidás email address () and phone number. Our volatility connections are related to the vertical upstream/downstream potential of peer firms in the supply chain and to their technological closeness. Daniela Scid a Federal Reserve Bank of Richmond O ce: (704) 358-2148 Quantitative Supervision and Research Email: 530 E. ![]() Using recent advances in network theory, we estimate the intra-industry volatility connectedness for US publicly traded companies going back to the 1920s. C05 Wednesday 7:00 - 7:50 PM Ms Daniela Scida C06 Tuesday 12:00 - 12:50 PM Ms Paige Warren-Shriner 1. ![]()
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