Are "Teenies" better? Low-priced shares are the greatest beneficiary

Journal of Portfolio Management

Volumn 25, Issue 1, 1998, Pages 10-24

  Bollen, Nicolas P B ^a   Whaley, Robert E ^b  

^a UNIVERSITY OF UTAH   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032217354     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1998.10     Document Type: Article

References (8)

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2. Bacidore, Jeffrey M. "The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange." Journal of Financial Intermediation, 6 (1997), pp. 92-120.
3. Brown, Sharon, Paul Laux, and Barry Schachter. "On the Existence of an Optimal Tick Size." Review of Futures Markets, 10 (1991), pp. 50-72.
4. Gray, Stephen, Tom Smith, and Robert E. Whaley. "Stock Splits: Implications for Models of the Quoted Bid/Ask Spread." Working paper, Fuqua School of Business, Duke University, 1995.
5. Grossman, Sanford, and Merton H. Miller. "Liquidity and Market Structure." Journal of Finance, 43 (July 1988), pp. 617-633.
6. Harris, Larry E. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes." Review of Financial Studies, 7 (Spring 1994), pp. 149-178.
7. Stoll, Hans R. "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks." Journal of Finance, 33 (1978), pp. 1153-1172.
8. Stoll, Hans R., and Robert E. Whaley. "Transaction Costs and the Small Firm Effect." Journal of Financial Economics, 12 (June 1983), pp. 57-79.