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

International Review of Economics and Finance

Volumn 14, Issue 2, 2005, Pages 181-201

  Kanas, Angelos ^a   Kouretas, Georgios P ^a  

^a UNIVERSITY OF CRETE   (Greece)

Author keywords

ARDL; Cointegration; Error correction; Forecasting; Lead lag effect; Size sorted portfolios; Stock returns predictability

Indexed keywords

EID: 13344260676     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2003.12.004     Document Type: Article

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