Date of Award
Doctor of Philosophy (PhD)
Motivated by the findings of Lo and Mackinlay (1990) that size premium can be partially attributed to the lead-lag relation between the returns of large stocks and those of small stocks, in this thesis we hypothesize that a possible lead-lag structure between value and glamour returns can partially explain the value premium anomaly.
The thesis consists of three chapters. Chapter I documents a pronounced lead-lag structure between value and glamour stocks: the glamour stocks lead value stocks in terms of both mean returns and residual volatilities, suggesting that value stocks delay in price adjustment to new information. To further explore the issue, we test the lead-lag price reaction to market- and firm-specific information separately in Chapters II and III. The results show that value stocks lag in absorbing both market- and firm-specific information relative to glamour stocks.
"Costly Arbitrage and the Lead-Lag Structure Between Value and Glamour Stocks"
(2007). Doctor of Philosophy (PhD), Dissertation, , Old Dominion University, DOI: 10.25777/m1ry-sh05