Stock Price Dynamics and Firm Size: An Empirical investigation

YIN‐WONG CHEUNG; LILIAN K. NG

doi:10.1111/j.1540-6261.1992.tb04693.x

Stock Price Dynamics and Firm Size: An Empirical investigation

YIN‐WONG CHEUNG
, LILIAN K. NG

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

148 Citations (Scopus)

Abstract

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

Original language	English
Pages (from-to)	1985-1997
Journal	The Journal of Finance
Volume	47
Issue number	5
DOIs	https://doi.org/10.1111/j.1540-6261.1992.tb04693.x
Publication status	Published - Dec 1992
Externally published	Yes

Policy Impact

Cited in Policy Documents

Access Output

10.1111/j.1540-6261.1992.tb04693.x

Other Access Options

Check CityUHK Library

Permanent Link

Right click to copy link

Cite this

@article{b6abb77d7baa4a4a9bcef7a2a0f93564,

title = "Stock Price Dynamics and Firm Size: An Empirical investigation",

abstract = "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",

author = "YIN‐WONG CHEUNG and NG, \{LILIAN K.\}",

year = "1992",

month = dec,

doi = "10.1111/j.1540-6261.1992.tb04693.x",

language = "English",

volume = "47",

pages = "1985--1997",

journal = "The Journal of Finance",

issn = "0022-1082",

publisher = "Wiley-Blackwell",

number = "5",

}

TY - JOUR

T1 - Stock Price Dynamics and Firm Size

T2 - An Empirical investigation

AU - CHEUNG, YIN‐WONG

AU - NG, LILIAN K.

PY - 1992/12

Y1 - 1992/12

N2 - 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

AB - 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

UR - https://www.scopus.com/pages/publications/84993858135

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84993858135&origin=recordpage

UR - https://app-overton-io.ezproxy.cityu.edu.hk/articles.php?query=10.1111/j.1540-6261.1992.tb04693.x

U2 - 10.1111/j.1540-6261.1992.tb04693.x

DO - 10.1111/j.1540-6261.1992.tb04693.x

M3 - RGC 21 - Publication in refereed journal

SN - 0022-1082

VL - 47

SP - 1985

EP - 1997

JO - The Journal of Finance

JF - The Journal of Finance

IS - 5

ER -

Stock Price Dynamics and Firm Size: An Empirical investigation

Abstract

Policy Impact

Access Output

Other Access Options

Permanent Link

Other Files and Links

Fingerprint

Cite this