Stock Price and Degree of Neglect as Determinants of Stock Returns
In prior research the neglected firm effect persists even after controlling for firm size. Several recent studies show that the size effect is a stock price effect. In the present study the authors investigate whether excess returns on neglected stocks are a manifestation of a stock price effect. Although material evidence supporting an independent neglected firm effect is still found, results are much weaker than in prior studies. Examining a large sample of New York Stock Exchange and American Stock Exchange stocks from 1977 to 1988, they find that both January and non-January months do not have a statistically significant neglect effect after controlling for a price effect.
Year of publication: |
1992
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Authors: | Bhardwaj, Ravinder K ; Brooks, LeRoy D |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 15.1992, 2, p. 101-12
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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