Segmented markets, differential information, and asset return dynamics
In a rational expectations framework under the assumption that the stock market is segmented because of legal restrictions, it is demonstrated that the returns of large firm stocks are predictors of small firm stock returns. Empirical tests supporting this prediction are also presented.
Main Authors: | Noe, T, Badrinath, S, Kale, J |
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Format: | Journal article |
Published: |
1993
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