Noe, Thomas, Badrinath, SG and Kale, Jayant R (1993) Segmented markets, differential information, and asset return dynamics. International Review of Economics & Finance, 2 (3). pp. 287-292.
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.
|Keywords:||stock markets; investments; share prices|
|Centre:||Faculty of Finance|
|Date Deposited:||17 Nov 2011 12:47|
|Last Modified:||23 Oct 2015 14:06|
Actions (login required)