haku: @author Fargher, N. / yhteensä: 4
viite: 3 / 4
| Tekijä: | Fargher, N. Weigand, R. |
| Otsikko: | Changes in the stock price reaction of small firms to common information |
| Lehti: | Journal of Financial Research
1998 : SPRING, VOL. 21:1, p. 105-121 |
| Asiasana: | CHANGE SHARE PRICES COMPANIES |
| Kieli: | eng |
| Tiivistelmä: | The authors hypothesize that changes in the technological and regulatory environment result in a more rapid response to marketwide information by small firms. They find that the correlations between small-firm returns and lagged large-firm returns decline over time, which suggests an increase in the efficiency of capital markets. Similar lead-lag patterns are found in the returns of portfolios sorted by dollar trading volume. The price response of low-volume stocks improves over time in much the same way as that of small-capitalization stocks. |
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