Francis, Bill B.; Mougoué, Mbodja; Panchenko, Valentyn - In: Journal of Empirical Finance 17 (2010) 1, pp. 23-38
This paper uses both linear and nonlinear causality tests to reexamine the causal relationship between the returns on large and small firms. Consistent with previous results, we find that large firms linearly lead small firms. We also find a significant linear causality in the direction from...