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Discussion: An Analysis of the Effects of a Multi-Tiered Stock Market

Published online by Cambridge University Press:  06 April 2009

Kelly Price
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Extract

It is important to investigate the characteristics of firms in differing size categories (tiers) in order to document any size-related differences that may exist among these firms. Such investigations may lead to improvements in asset-pricing models as empiricists test the impacts of these differences on the actual pricing of securities. Reilly and Drzycimski (R & D) have provided evidence that a number of such differences exist: volatility, debt ratios, and trading volume appear not to be homogeneously distributed across firm size categories nor across time, but there are some difficulties with the paper that need airing.

Type
Issues in Investments
Information
Journal of Financial and Quantitative Analysis , Volume 16 , Issue 4 , November 1981 , pp. 577 - 579
Copyright
Copyright © School of Business Administration, University of Washington 1981

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References

REFERENCES

[1]Banz, R. W. “The Relationship between Return and Market Value of Common Stocks.” Journal of Financial Economics, Vol. 9 (03 1981), pp. 3–18.CrossRefGoogle Scholar
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[3]Dann, L. Y.; Mayers, D.; and Raab, R. J.. “Trading Rules, Large Blocks and the Speed of Price Adjustment.” Journal of Financial Economics, Vol. 4, No. 1 (01 1977), pp. 3–22.CrossRefGoogle Scholar
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