Changes in the Stock Price Reaction of Small Firms to Common Information
Journal of Financial Research
Posted: 5 Mar 1998
Abstract
We hypothesize that changes in the technological and regulatory environment result in a more rapid response to marketwide information by small firms. We find that the correlations between small-firm returns and lagged large-firm returns decline over time, which suggests an increase in the efficiency of capital makets. Similar lead-lag patterns are found in the returns of portfolios sorted by dollar trading volume. The price response of low-volume stocks improves over time in much the same way as that of small-capitalization stocks.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation
Weigand, Robert A. and Fargher, Neil L., Changes in the Stock Price Reaction of Small Firms to Common Information. Journal of Financial Research, Available at SSRN: https://ssrn.com/abstract=64668
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