Intertemporal Differences in Systematic Stock Price Movements

Jack Clark Francis

Journal of Financial and Quantitative Analysis, 1975, vol. 10, issue 2, 205-219

Abstract: The purpose of this paper is to examine the intertemporal relationship between variations in the prices of individual common stocks and variations in the rest of the stock market. Empirical data are analyzed to determine the frequency with which stock prices precede, occur simultaneously, and follow movements in the market average.

Date: 1975
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