.png){kind=icon}
返回
Price-based return comovement
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jfineco.2008.09.002.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with high-priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain variation in stock-level returns after controlling for movements in the market and industry portfolios as well as portfolios based on size, book-to-market, transaction costs, and return momentum. The results suggest that investors categorize stocks based on price. (C) 2009 Elsevier B.V. All rights reserved.
Keyword:
Comovement
Price
期刊
IF:
12
论文数:
3.8K
被引数:
5.5W
机构
引用论文
Shape vectors: An efficient parametric representation for the synthesis and recognition of hand script characters.png)
Sadhana
OAAI
SadhanaIF0
OAAI分享收藏分享收藏
查看更多内容