Chulia, Helena; Torro, Hipolit - In: The European Journal of Finance 17 (2011) 8, pp. 695-715
Using Spanish stock market data, this paper examines volatility spillovers between large and small firms and their impact on expected returns. By using a conditional capital asset pricing model (CAPM) with an asymmetric multivariate GARCH-M covariance structure, it is shown that there exist...