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STOCK PRICE AND DEGREE OF NEGLECT AS DETERMINANTS OF STOCK RETURNS
Author(s) -
Bhardwaj Ravinder K.,
Brooks LeRoy D.
Publication year - 1992
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.1475-6803.1992.tb00791.x
Subject(s) - stock (firearms) , economics , stock exchange , stock price , neglect , monetary economics , financial economics , cost price , econometrics , finance , psychology , biology , mechanical engineering , paleontology , psychiatry , series (stratigraphy) , engineering
In prior research the neglected firm effect persists even after controlling for firm size. Several recent studies show that the size effect is a stock price effect. In the present study we investigate whether excess returns on neglected stocks are a manifestation of a stock price effect. Although material evidence supporting an independent neglected firm effect is still found, results are much weaker than in prior studies. Examining a large sample of New York Stock Exchange and American Stock Exchange stocks from 1977 to 1988, we find that both January and non‐January months do not have a statistically significant neglect effect after controlling for a price effect.