Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

A Possible Explanation of the Small Firm Effect

A Possible Explanation of the Small Firm Effect ABSTRACT Recent empirical studies have found that small listed firms yield higher average returns than large firms even when their riskiness is equal. The riskiness of small firms, however, has been improperly measured. Apparently, the error is due to auto‐correlation in portfolio returns caused by infrequent trading. Other anomalous predictors of risk‐adjusted returns, such as price/earnings ratios and dividend yields, may also derive some of their apparent power from this spurious source. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

A Possible Explanation of the Small Firm Effect

The Journal of Finance , Volume 36 (4) – Sep 1, 1981

Loading next page...
 
/lp/wiley/a-possible-explanation-of-the-small-firm-effect-8fnKP79WsI

References (15)

Publisher
Wiley
Copyright
1981 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1981.tb04890.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT Recent empirical studies have found that small listed firms yield higher average returns than large firms even when their riskiness is equal. The riskiness of small firms, however, has been improperly measured. Apparently, the error is due to auto‐correlation in portfolio returns caused by infrequent trading. Other anomalous predictors of risk‐adjusted returns, such as price/earnings ratios and dividend yields, may also derive some of their apparent power from this spurious source.

Journal

The Journal of FinanceWiley

Published: Sep 1, 1981

There are no references for this article.