Price-based return comovement

• 成果类型: Article
• 署名作者: Green, T. Clifton; Hwang, Byoung-Hyoun
• 署名单位: Emory University; Purdue University System; Purdue University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.09.002
• 发表日期: 2009
• 页码: 37-50
• 关键词: comovement; price

摘要

Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with high-priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain variation in stock-level returns after controlling for movements in the market and industry portfolios as well as portfolios based on size, book-to-market, transaction costs, and return momentum. The results suggest that investors categorize stocks based on price. (C) 2009 Elsevier B.V. All rights reserved.