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The Disappearance of the Small Stock Premium:

by Size As A Narrowly-held Risk, Cheah Chee Yian, Julia Sawicki, Nilanjan Sen , 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

by Andrew W. Lo, A. Craig MacKinlay - 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 ..."
Abstract - Cited by 517 (17 self) - Add to MetaCart
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

by Rolf W. Banz - 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 - Cited by 791 (0 self) - Add to MetaCart
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,

by Yakov Amihud - 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 - Cited by 864 (9 self) - Add to MetaCart
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

by Brad M. Barber, Terrance Odean - 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 - Cited by 494 (27 self) - Add to MetaCart
. 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

by David Lewis, Louis Derosset , 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 ..."
Abstract - Cited by 687 (2 self) - Add to MetaCart
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

by John R. Graham, Campbell R. Harvey - 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 - Cited by 725 (23 self) - Add to MetaCart
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

by Serena Ng, Pierre Perron - 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 ..."
Abstract - Cited by 558 (14 self) - Add to MetaCart
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

by Alon Levy, Anand Rajaraman, Joann Ordille , 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 - Cited by 724 (34 self) - Add to MetaCart
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

by Christos Faloutsos, M. Ranganathan, Yannis Manolopoulos - 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 - Cited by 533 (24 self) - Add to MetaCart
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
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