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On the lead-lag relation between sto...

University of Houston.

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On the lead-lag relation between stock returns of large and small firms.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	On the lead-lag relation between stock returns of large and small firms./
作者:	Zhao, Tian.
面頁冊數:	121 p.
附註:	Adviser: Thomas George.
Contained By:	Dissertation Abstracts International69-03A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3302051
ISBN:	9780549525592

On the lead-lag relation between stock returns of large and small firms.
Zhao, Tian.

On the lead-lag relation between stock returns of large and small firms. - 121 p.

Adviser: Thomas George.

Thesis (Ph.D.)--University of Houston, 2007.

The lead-lag relation between stock returns of large and small firms refers to the phenomenon that lagged returns of large capitalization stocks are significantly positively correlated with contemporaneous returns of small capitalization stocks, but not vice versa. I review three competing hypotheses about the phenomenon. I decompose the lead-lag effect into three components, each corresponding to one hypothesis, and test their relative importance. I find that the lead-lag effect is largely due to the fact that large-cap stock prices adjust to common information at a faster speed than small-cap stock prices. My results also indicate that the lagged adjustment to common information is mainly due to market friction rather than market irrationality. However, I do find that the explanatory power of the market irrationality hypothesis has significantly improved recently and that it has become a main source of a recent trend of the lead-lag effect.

ISBN: 9780549525592Subjects--Topical Terms:

1018458
Business Administration, Banking.

On the lead-lag relation between stock returns of large and small firms.
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502 $a Thesis (Ph.D.)--University of Houston, 2007.
520 $a The lead-lag relation between stock returns of large and small firms refers to the phenomenon that lagged returns of large capitalization stocks are significantly positively correlated with contemporaneous returns of small capitalization stocks, but not vice versa. I review three competing hypotheses about the phenomenon. I decompose the lead-lag effect into three components, each corresponding to one hypothesis, and test their relative importance. I find that the lead-lag effect is largely due to the fact that large-cap stock prices adjust to common information at a faster speed than small-cap stock prices. My results also indicate that the lagged adjustment to common information is mainly due to market friction rather than market irrationality. However, I do find that the explanatory power of the market irrationality hypothesis has significantly improved recently and that it has become a main source of a recent trend of the lead-lag effect.
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