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3,315
The Disappearance of the Small Stock Premium:
, 2004
"... This paper looks at the behavior of the size effect since 1962 and investigates arbitrage of a narrowly-shared small-cap risk to explain for its disappearance for most of the last two decades. Using returns-based style analysis to evaluate mutual funds ’ investment style, we find that the small stoc ..."
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stock loading is quite consistent over time apart from a temporal drop in the 1975 – 1977 period, leading to rejection of the hypothesis that the size effect is the premium for a narrowly-held risk. Instead, the various size-based style analyses suggest that the small stocks may have been oversold
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
- REVIEW OF FINANCIAL STUDIES
, 1988
"... In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962--1985) and for all subperiod for a variety of aggrega ..."
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Cited by 517 (17 self)
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of aggregate returns indexes and size-sorted portofolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does
The relationship between return and market value of common stocks
- Journal of Financial Economics
, 1981
"... This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence ..."
Abstract
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Cited by 791 (0 self)
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This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence
Illiquidity and stock returns: cross-section and time-series effects,
- Journal of Financial Markets
, 2002
"... Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock ret ..."
Abstract
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Cited by 864 (9 self)
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affects more strongly small firm stocks, thus explaining time series variations in their premiums over time. r
Trading is hazardous to your wealth: The common stock investment performance of individual investors
- JOURNAL OF FINANCE
, 2000
"... Individual investors who hold common stocks directly pay a tremendous performance penalty for active trading. Of 66,465 households with accounts at a large discount broker during 1991 to 1996, those that trade most earn an annual return of 11.4 percent, while the market returns 17.9 percent. The ave ..."
Abstract
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Cited by 494 (27 self)
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. The average household earns an annual return of 16.4 percent, tilts its common stock investment toward high-beta, small, value stocks, and turns over 75 percent of its portfolio annually. Overconfidence can explain high trading levels and the resulting poor performance of individual investors. Our central
On the Plurality of Worlds
, 1986
"... David Lewis is one of the most influential philosophers of our age, and On the Plurality of Worlds is his magnum opus. OPW1 offers an extended development and defense of the hypothesis that there are many universes, things of the same kind as the universe in which we all live, move, and have our bei ..."
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Cited by 687 (2 self)
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the material to offer a wide range of analyses of hitherto puzzling and problematic notions. We thereby effect a theoretical unification and simplification: with a small stock of primitives, we can analyze a number of important philosophical notions with a broad range of applications. But the analyses Lewis
The theory and practice of corporate finance: Evidence from the field
- Journal of Financial Economics
, 2001
"... We survey 392 CFOs about the cost of capital, capital budgeting, and capital structure. Large firms rely heavily on present value techniques and the capital asset pricing model, while small firms are relatively likely to use the payback criterion. We find that a surprising number of firms use their ..."
Abstract
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Cited by 725 (23 self)
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We survey 392 CFOs about the cost of capital, capital budgeting, and capital structure. Large firms rely heavily on present value techniques and the capital asset pricing model, while small firms are relatively likely to use the payback criterion. We find that a surprising number of firms use
Lag length selection and the construction of unit root tests with good size and power
- Econometrica
, 2001
"... It is widely known that when there are errors with a moving-average root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We conside ..."
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Cited by 558 (14 self)
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It is widely known that when there are errors with a moving-average root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We
Querying Heterogeneous Information Sources Using Source Descriptions
, 1996
"... We witness a rapid increase in the number of structured information sources that are available online, especially on the WWW. These sources include commercial databases on product information, stock market information, real estate, automobiles, and entertainment. We would like to use the data stored ..."
Abstract
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Cited by 724 (34 self)
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We witness a rapid increase in the number of structured information sources that are available online, especially on the WWW. These sources include commercial databases on product information, stock market information, real estate, automobiles, and entertainment. We would like to use the data
Fast subsequence matching in time-series databases
- PROCEEDINGS OF THE 1994 ACM SIGMOD INTERNATIONAL CONFERENCE ON MANAGEMENT OF DATA
, 1994
"... We present an efficient indexing method to locate 1-dimensional subsequences within a collection of sequences, such that the subsequences match a given (query) pattern within a specified tolerance. The idea is to map each data sequence into a small set of multidimensional rectangles in feature space ..."
Abstract
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Cited by 533 (24 self)
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We present an efficient indexing method to locate 1-dimensional subsequences within a collection of sequences, such that the subsequences match a given (query) pattern within a specified tolerance. The idea is to map each data sequence into a small set of multidimensional rectangles in feature
Results 1 - 10
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3,315
