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The Relation Between Common Stock Returns Trading Activity and Market Value
Author(s) -
JAMES CHRISTOPHER,
EDMISTER ROBERT O.
Publication year - 1983
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1983.tb02283.x
Subject(s) - financial economics , stock (firearms) , trading strategy , growth stock , stock market , economics , business , econometrics , enterprise value , value (mathematics) , monetary economics , market maker , finance , mathematics , statistics , biology , mechanical engineering , paleontology , horse , engineering
This study examines the relation between common stock returns, trading activity and market value. Our results indicate that although firm size and trading activity are highly correlated, differences in trading activity are not the underlying reason for the firm size anomaly, the finding of systematic differences in risk adjusted returns across stocks of firms of different size.