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Abstract

We link daily price-changes for 11 Dow-Jones companies for 5 three month periods to the prevailing interest rate. In "normal times", the in- terest carrying cost of owning a share exceeds average price change. In periods of high volatility (eg. August to November, 2008), average price change exceeds the interest carrying cost. We also observe considerable regularity across companies of volumes of shares traded per day and per- centage price changes. The intercept di¤ers across time periods (1995, 2006, 2007, 2008, 2010). Larger volumes yield larger price changes, on average.

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