Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2007
for the two size deciles. Since previ-
ous studies such as Chordia, Roll, and Subrahmanyam (2001) suggest that the … horizon similar to that used by Lo and
MacKinlay (1990) and subsequently in studies by Mech (1993), Badrinath, Kale, and Noe … the notion that a widening
of large-cap spreads signals an information event that is transmitted to small-cap stocks
with …