Price-based return comovement
Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with high-priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain variation in stock-level returns after controlling for movements in the market and industry portfolios as well as portfolios based on size, book-to-market, transaction costs, and return momentum. The results suggest that investors categorize stocks based on price.
Year of publication: |
2009
|
---|---|
Authors: | Green, T. Clifton ; Hwang, Byoung-Hyoun |
Published in: |
Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 93.2009, 1, p. 37-50
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Publisher: |
Elsevier |
Subject: | Comovement Price |
Saved in:
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