McQueen, Grant; Pinegar, Michael; Thorley, Steven - In: Journal of Finance 51 (1996) 3, pp. 889-919
We document a directional asymmetry in the small stock concurrent and lagged response to large stock movements. When returns on large stocks are negative, the concurrent beta for small stocks is high, but the lagged beta is insignificant. When returns on large stocks are positive, small stocks...