STOCK-PRICE DYNAMICS AND FIRM SIZE - AN EMPIRICAL-INVESTIGATION

• 成果类型: Article
• 署名作者: CHEUNG, YW; NG, LK
• 署名单位: University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329006
• 发表日期: 1992
• 页码: 1985-1997
• 关键词: volatility; returns; models; time

摘要

We show that after controlling for the effects of bid-ask spreads and trading volume the conditional future volatility of equity returns is negatively related to the level of stock price. This ''leverage effect' is stronger for small, as compared to large, firms. We also document that while the essential characteristics of the relations between stock price dynamics and firm size are stable, the strengths of the relationships appear to change over time.