Interactions among Stock Size, Stock Price and the January Effect
March 20, 2015 - Animal Spirits, Calendar Effects, Size Effect
Is there an exploitable interaction between a stock’s market capitalization and its price? In their February 2015 paper entitled “Nominal Prices Matter”, Vijay Singal and Jitendra Tayal examine the relationship between stock prices and returns after: (1) controlling for market capitalization (size); (2) isolating the month of January; and, (3) excluding very small stocks. They each year perform double-sorts… Keep Reading