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Stock Price Dynamics and Firm Size: An Empirical Investigation
Yin-Wong Cheung and Lilian K. Ng
The Journal of Finance
Vol. 47, No. 5 (Dec., 1992), pp. 1985-1997
Stable URL: http://www.jstor.org/stable/2329006
Page Count: 13
You can always find the topics here!Topics: Stock prices, Statistical variance, Leverage, Parametric models, Finance, Correlation coefficients, Arithmetic mean, Statistical models, Market value, Securities returns
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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.
The Journal of Finance © 1992 American Finance Association