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Journal Article

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
Published by: Wiley for the American Finance Association
DOI: 10.2307/2329006
Stable URL: http://www.jstor.org/stable/2329006
Page Count: 13
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Stock Price Dynamics and Firm Size: An Empirical Investigation
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Abstract

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.

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