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Stock Price Dynamics and Firm Size: An Empirical investigation
Author(s) -
CHEUNG YINWONG,
NG LILIAN K.
Publication year - 1992
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.1540-6261.1992.tb04693.x
Subject(s) - stock (firearms) , volatility (finance) , economics , equity (law) , stock price , econometrics , financial economics , leverage (statistics) , leverage effect , monetary economics , autoregressive conditional heteroskedasticity , mathematics , statistics , paleontology , series (stratigraphy) , mechanical engineering , political science , law , biology , engineering
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.