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Portfolio return autocorrelation

Citations

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Cited by:

  1. McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42.
  2. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  3. Amado Peiró, 2016. "Cross-autocorrelations in European stock returns," Economics and Business Letters, Oviedo University Press, vol. 5(1), pages 30-37.
  4. Palani-Rajan Kadapakkam & Timothy Krause & Yiuman Tse, 2015. "Exchange traded funds, size-based portfolios, and market efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 89-110, July.
  5. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
  6. Seguin, P. J. & Smoller, M. M., 1997. "Share price and mortality: An empirical evaluation of newly listed Nasdaq stocks," Journal of Financial Economics, Elsevier, vol. 45(3), pages 333-363, September.
  7. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
  8. Nicolas Huth & Frédéric Abergel, 2011. "High Frequency Lead/lag Relationships - Empirical facts," Working Papers hal-00645685, HAL.
  9. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  10. Christoly Biely & Stefan Thurner, 2008. "Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 705-722.
  11. Nicolas Huth & Fr'ed'eric Abergel, 2011. "High Frequency Lead/lag Relationships - Empirical facts," Papers 1111.7103, arXiv.org, revised Jan 2012.
  12. Pablo Marshall & Eduardo Walker, 2002. "Asymmetric Reaction to Information and Serial Dependence of Short-Run Returns," Journal of Applied Economics, Taylor & Francis Journals, vol. 5(2), pages 273-292, November.
  13. Bali, Turan G. & Subrahmanyam, Avanidhar & Wen, Quan, 2021. "Long-term reversals in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 139(2), pages 656-677.
  14. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  15. Allaudeen Hameed, 1997. "Time-Varying Factors And Cross-Autocorrelations In Short-Horizon Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 435-458, December.
  16. Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 1-27.
  17. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc.
  18. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
  19. repec:kap:iaecre:v:12:y:2006:i:2:p:191-202 is not listed on IDEAS
  20. Suan Poh & Chee wooi Hooy & Kian-ping Lim, 2017. "Effect of Geographical Diversification on Informational Efficiency in Malaysia," Economics Bulletin, AccessEcon, vol. 37(1), pages 19-29.
  21. Toshiaki Watanabe, 2002. "Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 395-403.
  22. Säfvenblad, Patrik, 1997. "Lead-Lag Effects When Prices Reveal Cross-Security Information," SSE/EFI Working Paper Series in Economics and Finance 189, Stockholm School of Economics.
  23. Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
  24. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
  25. Gębka, Bartosz & Wohar, Mark E., 2013. "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 51-61.
  26. Lim, Kian-Ping & Hooy, Chee-Wooi & Chang, Kwok-Boon & Brooks, Robert, 2016. "Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 1-28.
  27. Robert Durand & Marta Simon, 2008. "Beyond greed, fear and the iron curtain," Applied Financial Economics, Taylor & Francis Journals, vol. 18(4), pages 275-293.
  28. Sias, Richard W. & Starks, Laura T., 1997. "Return autocorrelation and institutional investors," Journal of Financial Economics, Elsevier, vol. 46(1), pages 103-131, October.
  29. Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2007. "Stock Return Autocorrelation is Not Spurious," Department of Economics, Working Paper Series qt2k7414sv, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  30. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-040, New York University, Leonard N. Stern School of Business-.
  31. G.S Morgan & Peter N. Smith & S.H. Thomas, "undated". "Portfolio return autocorrelation and non-synchronous trading in UK equities," Discussion Papers 00/46, Department of Economics, University of York.
  32. Terry Richardson & David Peterson, 1997. "Causes of cross-autocorrelation in security returns: Transaction costs versus information quality," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(3), pages 29-39, September.
  33. Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016. "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 46-62.
  34. Pawan Jain & Wen-Jun Xue, 2017. "Global Investigation of Return Autocorrelation and its Determinants," Working Papers 1704, Florida International University, Department of Economics.
  35. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Dependence dynamics of US REITs," International Review of Financial Analysis, Elsevier, vol. 81(C).
  36. Ai-Chi Hsu & Show-Yen Lai & Lien-Hui Chao, 2014. "Information Transmission Effects between A and H Dual Listing Shares," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(5), pages 27-40.
  37. S. Sarah Zhang, 2018. "Need for speed: Hard information processing in a high‐frequency world," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 3-21, January.
  38. Victor DeMiguel & Francisco J. Nogales & Raman Uppal, 2014. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 1031-1073.
  39. Michael Schuppli & Martin T. Bohl, 2009. "Do Foreign Institutional Investors Destabilize China’s A-Share Markets?," CQE Working Papers 0909, Center for Quantitative Economics (CQE), University of Muenster.
  40. Tariq Haque, 2011. "Lead–Lag Effects in Australian Industry Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 267-290, September.
  41. Ronen, Tavy, 1998. "Trading structure and overnight information: A natural experiment from the Tel-Aviv Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 489-512, May.
  42. Chan, Kalok & Hameed, Allaudeen, 2006. "Stock price synchronicity and analyst coverage in emerging markets," Journal of Financial Economics, Elsevier, vol. 80(1), pages 115-147, April.
  43. Eli Ofek & Matthew Richardson, 2001. "DotCom Mania: The Rise and Fall of Internet Stock Prices," NBER Working Papers 8630, National Bureau of Economic Research, Inc.
  44. Qiao, Zhuo & Li, Yuming & Wong, Wing-Keung, 2008. "Policy change and lead-lag relations among China's segmented stock markets," Journal of Multinational Financial Management, Elsevier, vol. 18(3), pages 276-289, July.
  45. Bartosz Gębka & Dobromił Serwa, 2012. "Liquidity needs, private information, feedback trading: verifying motives to trade," NBP Working Papers 119, Narodowy Bank Polski.
  46. Vitali Alexeev & Katja Ignatieva, 2021. "Biases in variance of decomposed portfolio returns," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1152-1178, December.
  47. Riccardo Bramante & Giovanni Petrella & Diego Zappa, 2015. "On the use of the market model R-square as a measure of stock price efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 379-391, February.
  48. Daya, Wael & Mazouz, Khelifa & Freeman, Mark, 2012. "Information efficiency changes following FTSE 100 index revisions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 1054-1069.
  49. Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney.
  50. Siklos, Pierre L. & Bohl, Martin T., 2005. "Trading Behavior During Stock Market Downturns: The Dow, 1915 - 2004," Working Paper Series 2005,7, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
  51. Francis, Bill B. & Mougoué, Mbodja & Panchenko, Valentyn, 2010. "Is there a symmetric nonlinear causal relationship between large and small firms?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 23-38, January.
  52. Palani-Rajan Kadapakkam & Timothy Krause & Yiuman Tse, 2013. "Exchange Traded Funds, Size-Based Portfolios, And Market Efficiency," Working Papers 0214fin, College of Business, University of Texas at San Antonio.
  53. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(1), pages 39-66, April.
  54. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  55. John Sell, 2006. "The Neuer Markt is Dead. Long Live the Neuer Markt!," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(2), pages 191-202, May.
  56. Lin Liu & Qiguang Chen, 2020. "How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
  57. B. D. Craven & Sardar M. N. Islam, 2015. "Stock Price Modeling: Separation of Trend and Fluctuations, and Implications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-12, December.
  58. Yu-Hong Liu & I-Ming Jiang & Shih-Cheng Lee & Yu-Ting Chen, 2011. "The Valuation Of Reset Options When Underlying Assets Are Autocorrelated," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(2), pages 95-114.
  59. Roberto Ortiz & Mauricio Contreras & Marcelo Villena, 2015. "On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects," Papers 1510.03926, arXiv.org.
  60. John Sell, 2003. "Market microstructure and security pricing in the warsaw market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(2), pages 101-113, May.
  61. Chelley-Steeley, Patricia L. & Steeley, James M., 2014. "Portfolio size, non-trading frequency and portfolio return autocorrelation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 56-77.
  62. Nikiforos Laopodis, 2008. "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(3), pages 271-293, July.
  63. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF, Faculty of Economics, University of Coimbra.
  64. Laopodis, Nikiforos T., 2016. "Industry returns, market returns and economic fundamentals: Evidence for the United States," Economic Modelling, Elsevier, vol. 53(C), pages 89-106.
  65. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
  66. Pawel Bilinski & Danielle Lyssimachou, 2014. "Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 203-226, June.
  67. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  68. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June.
  69. Yoshiro Tsutsui & Kenjiro Hirayama & Takahiro Tanaka & Nobutaka Uesugi, 2007. "Special Quotes Invoke Autocorrelation in Japanese Stock Prices," Asian Economic Journal, East Asian Economic Association, vol. 21(4), pages 369-386, December.
  70. Safvenblad, Patrik, 2000. "Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1275-1287, August.
  71. Pierdzioch, Christian, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913," Kiel Working Papers 1213, Kiel Institute for the World Economy (IfW Kiel).
  72. Yijie Li & Jianghui Liu & Haizhi Wang & Peng Wang, 2021. "Stock market liberalization, foreign institutional investors, and informational efficiency of stock prices: Evidence from an emerging market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5451-5471, October.
  73. Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
  74. Chang, Eric C. & McQueen, Grant R. & Pinegar, J. Michael, 1999. "Cross-autocorrelation in Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 471-493, December.
  75. Richard D. F. Harris & Anirut Pisedtasalasai, 2006. "Return and Volatility Spillovers Between Large and Small Stocks in the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1556-1571, November.
  76. Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2013. "Are short sellers positive feedback traders? Evidence from the global financial crisis," Journal of Financial Stability, Elsevier, vol. 9(3), pages 337-346.
  77. Bohl, Martin T. & Brzeszczynski, Janusz & Wilfling, Bernd, 2009. "Institutional investors and stock returns volatility: Empirical evidence from a natural experiment," Journal of Financial Stability, Elsevier, vol. 5(2), pages 170-182, June.
  78. Tao Chen & Karen H. Y. Wong & Masayuki Susai, 2016. "Active Management and Price Efficiency of Exchange-traded Funds," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(1), pages 3-18.
  79. Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng, 2004. "Industry momentum strategies and autocorrelations in stock returns," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 185-202, March.
  80. Grochola, Nicolaus & Browne, Mark Joseph & Gründl, Helmut & Schlütter, Sebastian, 2021. "Exploring the market risk profiles of U.S. and European life insurers," ICIR Working Paper Series 39/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  81. repec:uts:finphd:34 is not listed on IDEAS
  82. DePenya, Francisco J. & Gil-Alana, Luis A., 2007. "Serial correlation in the Spanish Stock Market," Global Finance Journal, Elsevier, vol. 18(1), pages 84-103.
  83. Marshall, Ben R. & Nguyen, Hung T. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "Country governance and international equity returns," Journal of Banking & Finance, Elsevier, vol. 122(C).
  84. Schuppli, Michael & Bohl, Martin T., 2010. "Do foreign institutional investors destabilize China's A-share markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 36-50, February.
  85. David Colwell & Julia Henker & Terry Walter, 2008. "Effect of Investor Category Trading Imbalances on Stock Returns," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 179-206, September.
  86. Jain, Pawan & Xue, Wenjun, 2017. "Global investigation of return autocorrelation and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 200-217.
  87. Ashish Agarwal & Alvin Chung Man Leung & Prabhudev Konana & Alok Kumar, 2017. "Cosearch Attention and Stock Return Predictability in Supply Chains," Information Systems Research, INFORMS, vol. 28(2), pages 265-288, June.
  88. Cheng-si Zhang & Da-yin Zhang & Jeffery Breece, 2011. "Financial Crisis, Monetary Policy, and Stock Market Volatility in China," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 371-388, November.
  89. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
  90. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York.
  91. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February.
  92. Jonathan Ross, 2023. "Does prior stock return correlation predict future stock return correlation?," SN Business & Economics, Springer, vol. 3(9), pages 1-15, September.
  93. Jeffrey Jarrett & Zhenzhen Sun, 2011. "Evidence and explanations for the association among six Asian (Pacific-Basin) financial markets," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1485-1496.
  94. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society.
  95. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January.
  96. Siddique, Akhtar R., 2003. "Common asset pricing factors in volatilities and returns in futures markets," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2347-2368, December.
  97. Karmakar, Madhusudan, 2010. "Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 110-120, February.
  98. Joanna Olbryś & Elżbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 24(1), pages 51-70.
  99. Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
  100. Chiao, Chaoshin & Hung, Ken & Lee, Cheng F., 2004. "The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 709-731, December.
  101. Geoffrey M. Ngene & Catherine Anitha Manohar & Ivan F. Julio, 2020. "Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach," JRFM, MDPI, vol. 13(11), pages 1-28, November.
  102. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2002. "Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 655-689, March.
  103. Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2013. "Autocorrelation and partial price adjustment," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 78-93.
  104. Syamala, Sudhakara Reddy & Wadhwa, Kavita, 2020. "Trading performance and market efficiency: Evidence from algorithmic trading," Research in International Business and Finance, Elsevier, vol. 54(C).
  105. Benjamin R. Auer, 2022. "On false discoveries of standard t-tests in investment management applications," Review of Managerial Science, Springer, vol. 16(3), pages 751-768, April.
  106. Massa, Massimo & Cheng, Si & Zhang, Hong, 2017. "Inefficient Globalization of Finance: Evidence from Marketing-Oriented Overseas Expansions of Low-Skilled Mutual Fund Families," CEPR Discussion Papers 11990, C.E.P.R. Discussion Papers.
  107. Guo, Laite, 2023. "Two faces of the size effect," Journal of Banking & Finance, Elsevier, vol. 146(C).
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