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New evidence on the nature of size-related anomalies in stock prices
Open accessAbstract
Abstract This paper is concerned with the size-related anomalies in stock returns reported by Banz (1981) and Reinganum (1981). They showed that small firms have tended to yield returns greater than those predicted by the traditional CAPM. We find that the size effect is linear in the logarithm of size, but reject the hypothesis that the ex ante excess return attributable to size is stable through time. We briefly analyze the Seemingly Unrelated Regression Model (SURM) and a two-step procedure as two alternative estimators of the size effect. Due to the instability of the effect, we find that the estimates are sensitive to the time period studied.
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Citations
Cited by
Size-related anomalies and stock return seasonality
Keim, D. B. (1983) · Journal of Financial Economics · doi:10.1016/0304-405x(83)90025-9 · Cited by 1,801
Data-Snooping Biases in Tests of Financial Asset Pricing Models
Lo, A. W., & MacKinlay, A. C. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.3.431 · Cited by 1,134
Metadata
- Authors
- Brown, P., Kleidon, A. W., & Marsh, T. A.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1983-06
- Volume
- 12
- Issue
- 1
- Pages
- 33-56
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2053848643
- Cited by
- 337
- References
- 0
- FWCI
- 44.85
- Type
- journal article
- Language
- en
- Open access
- green
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- Brown, P., Kleidon, A. W., & Marsh, T. A. (1983). New evidence on the nature of size-related anomalies in stock prices. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(83)90026-0
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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