Stock Price Dynamics and Firm Size : An Empirical investigation

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

117 Scopus Citations
View graph of relations



Original languageEnglish
Pages (from-to)1985-1997
Journal / PublicationThe Journal of Finance
Issue number5
Publication statusPublished - Dec 1992
Externally publishedYes


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. 1992 The American Finance Association