Segmented markets, differential information, and asset return dynamics

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.

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Year of publication:	1993
Authors:	Noe, Thomas ; Badrinath, SG ; Kale, Jayant R
Publisher:	Elsevier/North-Holland

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Type of publication:	Article
Language:	English
Notes:	Noe, Thomas, Badrinath, SG and Kale, Jayant R (1993) Segmented markets, differential information, and asset return dynamics. International Review of Economics and Finance, 2 (3). pp. 287-292.
Other identifiers:	10.1016/1059-0560(93)90005-B [DOI]
Source:	BASE

Persistent link: https://www.econbiz.de/10011423049