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Evidence of Intertemporal Systematic Risks in the Dailty Price Movements of NYSE and AMEX Common Stocks

Published online by Cambridge University Press:  06 April 2009

Gabriel A. Hawawini  and
Ashok Vora
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Extract

In a recent paper in this Journal Francis [3] has examined the intertemporal systematic cross dependence between the monthly returns of securities and those of a market index. Based on the monthly price behavior of a sample of 770 common stocks listed continuously on the New York Stock Exchange (NYSE) from 1958 to 1967 he concludes that, relative to the general market movement, there is no consistent pattern of leads or lags for securities' monthly returns. In other words, the monthlyreturns of securities do not precede or follow the monthly returns on the market index.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 2 , June 1980 , pp. 331 - 339
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

REFERENCES

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