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Intertemporal Differences in Systematic Stock Price Movements

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  • Francis, Jack Clark

Abstract

The purpose of this paper is to examine the intertemporal relationship between variations in the prices of individual common stocks and variations in the rest of the stock market. Empirical data are analyzed to determine the frequency with which stock prices precede, occur simultaneously, and follow movements in the market average.

Suggested Citation

  • Francis, Jack Clark, 1975. "Intertemporal Differences in Systematic Stock Price Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(2), pages 205-219, June.
    • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:02:p:205-219_01
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