Price-Based Return Comovement

37 Pages Posted: 21 Mar 2007 Last revised: 26 Mar 2008

See all articles by T. Clifton Green

T. Clifton Green

Emory University - Department of Finance

Byoung-Hyoun Hwang

Cornell University - Dyson School of Applied Economics and Management; Korea University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: January 2008

Abstract

Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with lower priced stocks and a decrease in their comovement with higher priced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in information diffusion. The shift in comovement following splits is greater for large stocks, high priced stocks, and when investor sentiment is high. In the full cross-section, price-based portfolios explain variation in stock-level returns after controlling for movements in the market and industry portfolios as well as portfolios based on size, book-to-market, and return momentum. The results suggest that investors categorize stocks based on price.

Keywords: Stock Split, Comovement, Style Investing

JEL Classification: G14

Suggested Citation

Green, T. Clifton and Hwang, Byoung-Hyoun, Price-Based Return Comovement (January 2008). Available at SSRN: https://ssrn.com/abstract=972785 or http://dx.doi.org/10.2139/ssrn.972785

T. Clifton Green (Contact Author)

Emory University - Department of Finance ( email )

1300 Clifton Rd.
Atlanta, GA 30322-2710
United States
404-727-5167 (Phone)
404-727-5238 (Fax)

Byoung-Hyoun Hwang

Cornell University - Dyson School of Applied Economics and Management ( email )

Ithaca, NY
United States

HOME PAGE: http://www.bhwang.com

Korea University - Department of Finance

Seoul, 136-701
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
460
rank
30,598
Abstract Views
2,393
PlumX Metrics
!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information