Do demand curves for small stocks slope down?

Journal of Financial Research

Volumn 27, Issue 2, 2004, Pages 161-178

  Biktimirov, Ernest N ^a   Cowan, Arnold R ^b   Jordan, Bradford D ^c  

^a BROCK UNIVERSITY   (Canada)

^b IOWA STATE UNIVERSITY   (United States)

^c UNIVERSITY OF KENTUCKY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 2942563876     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2004.t01-1-00077.x     Document Type: Review

References (17)

1. Ajinkya, B. B. and P. C. Jain, 1989, The behavior of daily stock market trading volume, Journal of Accounting and Economics 11, 331-59.
2. Amihud, Y. and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-49.
3. Beneish, M. D. and R. E. Whaley, 2002, S&P 500 index replacements, Journal of Portfolio Management 29, 51-60.
4. Campbell, C. J. and C. E. Wasley, 1996, Measuring abnormal daily trading volume for samples of NYSE/ASE and NASDAQ securities using parametric and nonparametric test statistics, Review of Quantitative Finance and Accounting 6, 309-26.
5. Chen, H., 2002, On Russell index reconstitution, Working paper, University of Illinois at Chicago.
6. Cready, W. M. and R. Ramanan, 1991, The power of tests employing log-transformed volume in detecting abnormal trading, Journal of Accounting and Economics 14, 203-14.
7. Fama, E. F. and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
8. Goetzmann, W. N. and M. Garry, 1986, Does delisting from the S&P 500 affect stock price? Financial Analysts Journal 42, 64-69.
9. Harris, L. and E. Gurel, 1986, Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures, Journal of Finance 41, 815-29.
10. Hillion, P. and T. Vermaelen, 2001, Death spiral convertibles, Working paper, INSEAD.
11. Ibbotson, R. G., 1975, Price performance of common stock new issues, Journal of Financial Economics 2, 235-72.
12. Jain, P. C., 1987, The effect on stock price of inclusion in or exclusion from the S&P 500, Financial Analysts Journal 43, 58-65.
13. Kaul, A., V Mehrotra, and R. Morck, 2000, Demand curves for stocks do slope down: New evidence from an index weights adjustment, Journal of Finance 55, 893-912.
14. Madhavan, A., 2001, The Russell reconstitution effect, Working paper, ITG Inc., New York.
15. Pruitt, S. W. and K. C. J. Wei, 1989, Institutional ownership and changes in the S&P 500, Journal of Finance 44, 509-13.
16. Reed, A. V., 2000, The life cycle of an arbitrage opportunity: Reconstitutions of the Russell 2000, Working paper, University of Pennsylvania.
17. Shleifer, A., 1986, Do demand curves for stocks slope down?, Journal of Finance 41, 579-90.