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Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index

✍ Scribed by Ernest N. Biktimirov, Boya Li

Book ID
120765072
Publisher
Springer US
Year
2013
Tongue
English
Weight
380 KB
Volume
42
Category
Article
ISSN
0924-865X

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any empirical studies of daily returns on common stocks and other financial M assets in United States markets have reported daily. patterns that are seemingly inexplicable (Cross, 1973, French, 1980, Gibbons and Hess, 1981 and Keim and Stambaugh, 1984). Recently, Jaffe and Westerfield (1985) report