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A cointegration approach to the lead-lag effect among size-sorted equity portfolios

  • Kanas, Angelos
  • Kouretas, Georgios P.

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File URL: http://www.sciencedirect.com/science/article/pii/S1059-0560(04)00020-6
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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 14 (2005)
Issue (Month): 2 ()
Pages: 181-201

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Handle: RePEc:eee:reveco:v:14:y:2005:i:2:p:181-201
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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  17. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
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