Stock Price Dynamics and Firm Size: An Empirical Investigation

Yin-Wong Cheung and Lilian K Ng

Journal of Finance, 1992, vol. 47, issue 5, 1985-97

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. Copyright 1992 by American Finance Association.

Date: 1992
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