A cointegration approach to the lead–lag effect.pdfVIP

International Review of Economics and Finance 14 (2005) 181–201 /locate/econbase A cointegration approach to the lead–lag effect among size-sorted equity portfolios Angelos Kanas *, Georgios P. Kouretas Department of Economics, University of Crete, Rethymno, Greece Received 23 April 2003; received in revised form 15 October 2003; acce