.png){kind=icon}
.png){kind=icon}
Return
Price-based return comovement
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jfineco.2008.09.002.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
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.
Keywords:
Comovement
Price
Journal
IF:
12
Papers:
3.8K
Citations:
5.5W
