Revisiting the size effect in the Bovespa

Revisiting the size effect in the Bovespa

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The size effect has been analyzed in numerous stock markets using different approaches. However, there are few studies focused on its practical applicability. In this context, the aim of this study is two-fold. First, we examine price and volatility linkages among large, medium, and small firms empl...

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Bibliographic Details
Main Authors: Maria del Mar Miralles-Quiros, Jose Luis Miralles-Quiros, Luis Miguel Gonçalves
Format: Article
Language:English
Published: Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo 2017-08-01
Series:RAE: Revista de Administração de Empresas
Subjects:
Multivariate GARCH
optimal strategies
size effect
statistical and economic significance
Bovespa
Online Access:http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71356/68818

Internet

http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71356/68818

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