Nothing Special   »   [go: up one dir, main page]

create a website
A Possible Explanation of the Small Firm Effect.. (1981). Roll, Richard.
In: Journal of Finance.
RePEc:bla:jfinan:v:36:y:1981:i:4:p:879-88.

Full description at Econpapers || Download paper

Cited: 82

Citations received by this document

Cites: 0

References cited by this document

Cocites: 0

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Does prior stock return correlation predict future stock return correlation?. (2023). Ross, Jonathan.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:3:y:2023:i:9:d:10.1007_s43546-023-00551-z.

    Full description at Econpapers || Download paper

  2. The cross-section of January effect. (2023). Ding, Wenjie ; Cheema, Arbab Khalid ; Wang, Qingwei.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00324-1.

    Full description at Econpapers || Download paper

  3. Trading strategies and the frequency of time-series. (2023). Isaenko, Sergey.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:90:y:2023:i:c:p:267-283.

    Full description at Econpapers || Download paper

  4. .

    Full description at Econpapers || Download paper

  5. The Fama-French five-factor model and emerging market equity returns. (2022). Mosoeu, Selebogo ; Kodongo, Odongo.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:85:y:2022:i:c:p:55-76.

    Full description at Econpapers || Download paper

  6. The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries. (2021). Sahabi, Bahram ; Zolfaghari, Mehdi.
    In: Review of Managerial Science.
    RePEc:spr:rvmgts:v:15:y:2021:i:7:d:10.1007_s11846-020-00413-0.

    Full description at Econpapers || Download paper

  7. Are Prominent Equity Market Anomalies in India Fading Away?. (2021). Sehgal, Sanjay ; Subramaniam, Srividya ; Sharma, Gagan.
    In: Global Business Review.
    RePEc:sae:globus:v:22:y:2021:i:1:p:255-270.

    Full description at Econpapers || Download paper

  8. Size Effect in Indian Equity Market: Myth or Reality?. (2021). Sharma, Gagan ; Sehgal, Sanjay ; Vasishth, Vibhuti.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:28:y:2021:i:1:d:10.1007_s10690-020-09318-0.

    Full description at Econpapers || Download paper

  9. The Month-of-the-Year Effect in the European, American, Australian and Asian Markets. (2021). Barbosa, Catarina ; Pimentel, Pedro ; Couto, Gualter ; Castanho, Rui Alexandre.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:4:p:168-:d:671519.

    Full description at Econpapers || Download paper

  10. Earnings and liquidity factors. (2021). Wroblewski, David ; Snigaroff, Robert.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:80:y:2021:i:c:p:508-523.

    Full description at Econpapers || Download paper

  11. Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods. (2020). Hübner, Georges ; Hubner, Georges ; Fays, Boris ; Lambert, Marie.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300789.

    Full description at Econpapers || Download paper

  12. .

    Full description at Econpapers || Download paper

  13. Relative option liquidity and price efficiency. (2019). Du, Brian.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0738-1.

    Full description at Econpapers || Download paper

  14. .

    Full description at Econpapers || Download paper

  15. Changing Nature of the Value Premium in the Indian Stock Market. (2018). .
    In: Vision.
    RePEc:sae:vision:v:22:y:2018:i:2:p:135-143.

    Full description at Econpapers || Download paper

  16. The Comparative Performance Evaluation of the Fama-French Five Factor Model in Turkey. (2018). Acaravc, Songul Kakll ; Karaomer, Yunus.
    In: Isletme ve Iktisat Calismalari Dergisi.
    RePEc:eco:journ4:2018-03-1.

    Full description at Econpapers || Download paper

  17. .

    Full description at Econpapers || Download paper

  18. Análise do efeito tamanho na Bovespa. (2017). del Mar, Maria ; Gonalves, Luis Miguel ; Miralles-Quiros, Jose Luis.
    In: RAE - Revista de Administração de Empresas.
    RePEc:fgv:eaerae:v:57:y:2017:i:4:a:71356.

    Full description at Econpapers || Download paper

  19. Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors. (2017). Uk, Byoung ; Kim, Tong Suk ; In, Francis.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:42:y:2017:i:c:p:15-39.

    Full description at Econpapers || Download paper

  20. The Size Premium in Equity Markets: Where is the Risk?. (2017). Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, ; Ciliberti, Stefano.
    In: Papers.
    RePEc:arx:papers:1708.00644.

    Full description at Econpapers || Download paper

  21. Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market. (2016). Campanella, Francesco ; Dangelo, Eugenio ; Mustilli, Mario.
    In: Review of Economics & Finance.
    RePEc:bap:journl:160103.

    Full description at Econpapers || Download paper

  22. Naive Diversification Preferences and their Representation. (2016). Mahmoud, Ola ; De Giorgi, Enrico.
    In: Papers.
    RePEc:arx:papers:1611.01285.

    Full description at Econpapers || Download paper

  23. Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas. (2015). Pae, Yuntaek ; Sabbaghi, Navid .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:18:y:2015:i:c:p:203-207.

    Full description at Econpapers || Download paper

  24. Robust analysis for downside risk in portfolio management for a volatile stock market. (2015). Abbas, Qaisar ; Ayub, Usman ; Shah, Syed Zulfiqar Ali, .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:44:y:2015:i:c:p:86-96.

    Full description at Econpapers || Download paper

  25. Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets. (2014). Payne, James ; Apergis, Nicholas.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:23:y:2014:i:1:p:46-53.

    Full description at Econpapers || Download paper

  26. Are ethical investments good?. (2014). Gariet WS Chow, ; Koh, Szekee ; Durand, Robert B.
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:39:y:2014:i:4:p:645-665.

    Full description at Econpapers || Download paper

  27. An Examination of Adverse Selection Risk in Indian IPO After-Markets using High Frequency Data. (2014). Bhattacharya, Arnab ; Chakrabarti, Binay Bhushan .
    In: International Journal of Economic Sciences.
    RePEc:prg:jnljes:v:2014:y:2014:i:3:id:15:p:01-49.

    Full description at Econpapers || Download paper

  28. Liquidity Benefits From Underpricing: Evidence from Initial Public Offerings Listed at Karachi Stock Exchange. (2014). Javid, Attiya ; Malik Muhammad Shehr Yar, .
    In: PIDE-Working Papers.
    RePEc:pid:wpaper:2014:101.

    Full description at Econpapers || Download paper

  29. Corporate sustainability in asset pricing models and mutual funds performance measurement. (2014). Walker, Thomas ; Kaspereit, Thomas ; Lopatta, Kerstin.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:28:y:2014:i:4:p:363-407.

    Full description at Econpapers || Download paper

  30. Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets. (2014). Payne, James ; Apergis, Nicholas.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:1:p:46-53.

    Full description at Econpapers || Download paper

  31. Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011. (2013). Svingou, Argiro .
    In: SPOUDAI Journal of Economics and Business.
    RePEc:spd:journl:v:63:y:2013:i:1-2:p:100-120.

    Full description at Econpapers || Download paper

  32. Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices. (2013). Perron, Pierre ; Chun, Sungju ; Vodounou, Cosme .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:20:y:2013:i:c:p:42-62.

    Full description at Econpapers || Download paper

  33. Evaluación del efecto tamaño de empresa en los mercados bursátiles de América Latina. (2013). Juan Benjamin Duarte Duarte, ; Zulay Yesenia Ramirez Leon, ; Katherine Julieth Sierra Suarez, .
    In: REVISTA ECOS DE ECONOMÍA.
    RePEc:col:000442:012003.

    Full description at Econpapers || Download paper

  34. THE “LARGE-FIRM” EFFECT? BETTOR PREFERENCES AND MARKET PRICES IN NCAA FOOTBALL. (2013). Weinbach, Andrew ; Paul, Rodney ; Higger, Eric .
    In: Journal of Prediction Markets.
    RePEc:buc:jpredm:v:7:y:2013:i:2:p:29-41.

    Full description at Econpapers || Download paper

  35. Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds. (2012). Olbrys, Joanna ; Joanna, Olbry .
    In: Folia Oeconomica Stetinensia.
    RePEc:vrs:foeste:v:10:y:2012:i:2:p:60-80:n:2.

    Full description at Econpapers || Download paper

  36. Large changes in stock prices: Market, liquidity, and momentum effect. (2012). Lin, Chih-Yung ; Shieh, Shwu-Jane ; Ho, Po-Hsin .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:2:p:183-197.

    Full description at Econpapers || Download paper

  37. An internal control perspective on the market value consequences of IT operational risk events. (2012). Benaroch, Michel ; Goldstein, James ; Chernobai, Anna.
    In: International Journal of Accounting Information Systems.
    RePEc:eee:ijoais:v:13:y:2012:i:4:p:357-381.

    Full description at Econpapers || Download paper

  38. Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance. (2011). Chien, Chin-Chen ; Chen, Tsung-Cheng.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:19:y:2011:i:2:p:208-229.

    Full description at Econpapers || Download paper

  39. The Return of the Size Anomaly: Evidence from the German Stock Market. (2011). Zadeh, Amir Amela.
    In: European Financial Management.
    RePEc:bla:eufman:v:17:y:2011:i:1:p:145-182.

    Full description at Econpapers || Download paper

  40. Choix de portefeuille: comparaison des différentes stratégies. (2010). Trabelsi, Mohamed Ali.
    In: MPRA Paper.
    RePEc:pra:mprapa:82946.

    Full description at Econpapers || Download paper

  41. Cross-cultural differences in seasonality. (2010). Bley, Jorg ; Saad, Mohsen.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:4:p:306-312.

    Full description at Econpapers || Download paper

  42. The persistence of the small firm/January effect: Is it consistent with investors learning and arbitrage efforts?. (2009). Stephan, Jens A. ; Sen, Pradyot K. ; Easterday, Kathryn E..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:3:p:1172-1193.

    Full description at Econpapers || Download paper

  43. The retention of CEOs that make poor acquisitions. (2008). Griffith, John ; Carroll, Carolyn .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:32:y:2008:i:3:p:226-242.

    Full description at Econpapers || Download paper

  44. The evolution of the January effect. (2008). Moller, Nicholas ; Zilca, Shlomo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:3:p:447-457.

    Full description at Econpapers || Download paper

  45. SMB -- Arousal, disproportionate reactions and the size-premium. (2007). Juricev, Alex ; Durand, Robert B. ; Smith, Gary W..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:15:y:2007:i:4:p:315-328.

    Full description at Econpapers || Download paper

  46. The Cross-Section of Stock Returns on The Shanghai Stock Exchange. (2006). Liu, Wei ; Tan, Ruth ; Wong, Kie .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:26:y:2006:i:1:p:23-39.

    Full description at Econpapers || Download paper

  47. The implied liquidity premium for equities. (2006). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:2:y:2006:i:1:p:87-99.

    Full description at Econpapers || Download paper

  48. The size effect reversal in the USA. (2005). Varela, Oscar ; Hassan, M. Kabir ; AL-RJOUB, SAMER.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:17:p:1189-1197.

    Full description at Econpapers || Download paper

  49. Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market. (2004). Theobald, Michael ; Poshakwale, Sunil .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:14:y:2004:i:4:p:385-400.

    Full description at Econpapers || Download paper

  50. Are calculated betas good for anything?. (2004). Fernandez, Pablo ; natalia, natalia.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0555.

    Full description at Econpapers || Download paper

  51. Managing investment risks of institutional private equity investors: The challenge of illiquidity. (2003). Kaserer, Christoph ; Achleitner, Ann-Kristin ; Wagner, Niklas.
    In: CEFS Working Paper Series.
    RePEc:zbw:cefswp:200301.

    Full description at Econpapers || Download paper

  52. The survivorship bias, share price effect, and small firm effect in Canadian markets. (2003). Wei, Jason ; Elfakhani, Said.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:12:y:2003:i:4:p:397-411.

    Full description at Econpapers || Download paper

  53. The explaining role of the Earning-Price Ratio in the Spanish Stock Market. (2003). Gil-Alana, Luis ; DePea, Javier.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0303.

    Full description at Econpapers || Download paper

  54. The survivorship bias, share price effect, and small firm effect in Canadian markets. (2003). Wei, Jason ; Elfakhani, Said .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:12:y:2003:i:4:p:397-411.

    Full description at Econpapers || Download paper

  55. Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms. (2003). Steen, Adam B. ; Kalev, Petko S. ; Pham, Peter K..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:5:p:919-947.

    Full description at Econpapers || Download paper

  56. Robustness of size and value effects in emerging equity markets, 1985-2000. (2002). Rodriguez, Mauricio ; Barry, Christopher B. ; Lockwood, Larry ; Goldreyer, Elizabeth.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:3:y:2002:i:1:p:1-30.

    Full description at Econpapers || Download paper

  57. Alternative Capital Asset Pricing Models: A Review of Theory and Evidence. (2000). Javed, Attiya Y..
    In: PIDE-Working Papers.
    RePEc:pid:wpaper:2000:179.

    Full description at Econpapers || Download paper

  58. Investor Recognition of Bankrputcy Costs: Evidence from the 1987 Market Crash. (2000). Jang, Jonathan H. ; Eun, Cheol S..
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:4:y:2000:i:3-4:p:221-245.

    Full description at Econpapers || Download paper

  59. The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings. (1999). Keim, Donald ; hawawini, gabriel.
    In: Rodney L. White Center for Financial Research Working Papers.
    RePEc:fth:pennfi:08-99.

    Full description at Econpapers || Download paper

  60. Ownership structure and firm performance: evidence from the UK financial services industry. (1998). Mudambi, Ram ; Nicosia, Carmela.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:2:p:175-180.

    Full description at Econpapers || Download paper

  61. Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges. (1997). Kohers, Gerald ; Pandey, Vivek.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:37:y:1997:i:2:p:523-545.

    Full description at Econpapers || Download paper

  62. The impact of the return interval on the estimation of systematic risk. (1997). Josev, Thomas ; Brailsford, Timothy J..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:5:y:1997:i:3:p:357-376.

    Full description at Econpapers || Download paper

  63. Portfolio rebalancing, institutional ownership, and the small firm?January effect. (1996). Weaver, Daniel G ; Powell, Gary E ; Porter, David C.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:5:y:1996:i:1:p:19-29.

    Full description at Econpapers || Download paper

  64. Investment Behavior and the Small Firm Effect. (1996). Goulet, Janet ; Sweeney, Robert J. ; Scherer, Robert F..
    In: Journal of Entrepreneurial Finance.
    RePEc:pep:journl:v:5:y:1996:i:3:p:251-69.

    Full description at Econpapers || Download paper

  65. Portfolio rebalancing, institutional ownership, and the small firm-January effect. (1996). Powell, Gary ; Weaver, Daniel G. ; Porter, David C..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:5:y:1996:i:1:p:19-29.

    Full description at Econpapers || Download paper

  66. Calendar effects in the London Stock Exchange FT-SE indices. (1995). Coutts, Andrew J. ; Mills, Terence .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:1:y:1995:i:1:p:79-93.

    Full description at Econpapers || Download paper

  67. Returns and firm size: A note on the UK experience 1970-1991. (1995). Fraser, Patricia .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:2:y:1995:i:10:p:331-334.

    Full description at Econpapers || Download paper

  68. Property Type, Size, and REIT Value. (1995). Capozza, Dennis ; Lee, Sohan.
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:10:n:5:1994:p:363-380.

    Full description at Econpapers || Download paper

  69. Long-term and short-term price memory in the stock market. (1995). Noronha, Gregory ; Chow, Victor K. ; Ferris, Stephen ; Denning, Karen C..
    In: Economics Letters.
    RePEc:eee:ecolet:v:49:y:1995:i:3:p:287-293.

    Full description at Econpapers || Download paper

  70. BENCHMARK ERROR AND THE SMALL FIRM EFFECT: A REVISIT. (1991). K. C. John Wei, ; Stansell, Stanley R..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:14:y:1991:i:4:p:359-369.

    Full description at Econpapers || Download paper

  71. THE EFFECT OF MARKET PROXY REBALANCING POLICIES ON DETECTING ABNORMAL PERFORMANCE. (1989). Thompson, Donald J. ; Zivney, Terry L.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:12:y:1989:i:4:p:293-299.

    Full description at Econpapers || Download paper

  72. Firm size and the information content of annual earnings announcements*. (1988). Ro, Byung T.
    In: Contemporary Accounting Research.
    RePEc:wly:coacre:v:4:y:1988:i:2:p:438-449.

    Full description at Econpapers || Download paper

  73. FIRM SIZE AND DIVIDEND ANNOUNCEMENTS. (1988). Eddy, Albert ; Seifert, Bruce .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:11:y:1988:i:4:p:295-302.

    Full description at Econpapers || Download paper

  74. RELATIVE STOCK PRICES AND THE FIRM SIZE EFFECT. (1987). Thompson, Donald J. ; Zivney, Terry L..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:10:y:1987:i:2:p:99-110.

    Full description at Econpapers || Download paper

  75. THE RELATION BETWEEN RETURNS, OWNERSHIP STRUCTURE, AND MARKET VALUE. (1986). Jahera, John S. ; Lloyd, William P. ; Goldstein, Steven J..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:9:y:1986:i:2:p:171-177.

    Full description at Econpapers || Download paper

  76. A NEW APPROACH TO CONTROLLING FOR THIN TRADING. (1985). McInish, Thomas ; Wood, Robert A..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:8:y:1985:i:1:p:69-76.

    Full description at Econpapers || Download paper

  77. Anomalies and Equilibrium Returns in a Small Stock Market. (1984). Wahlroos, Bjorn ; Berglund, Tom.
    In: Discussion Papers.
    RePEc:nwu:cmsems:589.

    Full description at Econpapers || Download paper

  78. HOW MANY SMALL FIRMS ARE ENOUGH?. (1984). Chen, K. C. ; Sears, Stephen R..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:7:y:1984:i:4:p:341-349.

    Full description at Econpapers || Download paper

  79. COSKEWNESS, DIVIDEND YIELD AND CAPITAL ASSET PRICING. (1984). Rozeff, Michael S. ; Cook, Thomas J..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:7:y:1984:i:3:p:231-241.

    Full description at Econpapers || Download paper

  80. The January Effect on a Small Stock Market: Lumpy Information and Tax-Loss Selling. (1983). Wahlroos, Bjorn ; Berglund, Tom.
    In: Discussion Papers.
    RePEc:nwu:cmsems:579.

    Full description at Econpapers || Download paper

References

References cited by this document

    This document has not been processed yet.

    You may help us by submiting the list of references

Cocites

Documents in RePEc which have cited the same bibliography

          This document has not co-citation data yet.

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-22 09:40:07 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.