Journal article icon

Journal article

Segmented markets, differential information, and asset return dynamics

Abstract:
In a rational expectations framework under the assumption that the stock market is segmented because of legal restrictions, it is demonstrated that the returns of large firm stocks are predictors of small firm stock returns. Empirical tests supporting this prediction are also presented.

Actions


Authors


Publication date:
1993-01-01
UUID:
uuid:c4852008-10a6-4e72-8914-96fd1c0bf582
Local pid:
oai:eureka.sbs.ox.ac.uk:1150
Deposit date:
2011-11-18

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP