Segmented markets, differential information, and asset return dynamics

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.

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.

Item Type: Article
Keywords: stock markets; investments; share prices; finance
Subject(s): Finance
Date Deposited: 17 Nov 2011 12:47
Last Modified: 02 Mar 2017 10:41
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/1150

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