CHANGES IN THE STOCK PRICE REACTION OF SMALL FIRMS TO COMMON INFORMATION

Neil L. Fargher and Robert A. Weigand

Journal of Financial Research, 1998, vol. 21, issue 1, 105-121

Abstract: We hypothesize that changes in the technological and regulatory environment result in a more rapid response to marketwide information by small firms. We 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.

Date: 1998
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https://doi.org/10.1111/j.1475-6803.1998.tb00272.x

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