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

Listed author(s):
  • Kanas, Angelos
  • Kouretas, Georgios P.

No abstract is available for this item.

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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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  10. Gerrard, W J & Godfrey, L G, 1998. "Diagnostic Checks for Single-Equation Error-Correction and Autoregressive Distributed Lag Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(2), pages 222-237, March.
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  12. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
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  22. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364.
  23. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
  24. Moore, Michael J. & Copeland, Laurence S., 1995. "A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency Baillie and Bollerslev revisited," Economics Letters, Elsevier, vol. 47(2), pages 131-135, February.
  25. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
  26. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
  27. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
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  29. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-425, October.
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  36. Richardson, Terry & Peterson, David R, 1999. "The Cross-Autocorrelation of Size-Based Portfolio Returns Is Not an Artifact of Portfolio Autocorrelation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 1-13, Spring.
  37. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
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  39. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
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  41. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-163, April.
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