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RELATIVE STOCK PRICES AND THE FIRM SIZE EFFECT
Author(s) -
Zivney Terry L.,
Thompson Donald J.
Publication year - 1987
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1987.tb00482.x
Subject(s) - economics , stock (firearms) , stock price , econometrics , monetary economics , cost price , financial economics , biology , mechanical engineering , paleontology , series (stratigraphy) , engineering
A stock's relative price ratio, defined as the ratio of the current price to the average of the highest and lowest prices over some holding period, is shown to be a better predictor of future stock returns than firm size. The price ratio has an even stronger January seasonality than does firm size. After controlling for price ratio variations, firm size has no significant relationship to return. The abnormal returns for the price ratio effect are consistent with those predicted by optimal tax selling considerations.