STOCK-PRICE DYNAMICS AND FIRM SIZE - AN EMPIRICAL-INVESTIGATION

被引：92

作者：

CHEUNG, YW ^{[1
]}

NG, LK ^{[1
]}

机构：

[1] UNIV TEXAS, DEPT FINANCE, AUSTIN, TX 78712 USA

来源：

JOURNAL OF FINANCE | 1992年 / 47卷 / 05期

关键词：

D O I：

10.2307/2329006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1985 / 1997

页数：13

共 19 条

[1]

AMIHUD Y, 1987, J FINANC, V42, P533

[2] THE CONSTANT ELASTICITY OF VARIANCE MODEL AND ITS IMPLICATIONS FOR OPTION PRICING [J].