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Journals
Publication year
Stock Price Dynamics and Firm Size: An Empirical Investigation.
Resource type
Authors/contributors
- Cheung, Yin-Wong (Author)
- Ng, Lilian K (Author)
Title
Stock Price Dynamics and Firm Size: An Empirical Investigation.
Abstract
The authors 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. The authors 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.
Publication
The Journal of Finance
Volume
47
Issue
5
Pages
1985-97
Date
1992-12
Citation
Cheung, Y.-W., & Ng, L. K. (1992). Stock Price Dynamics and Firm Size: An Empirical Investigation. The Journal of Finance, 47, 1985–1997.
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