A Direct Test of Roll's Conjecture on the Firm Size Effect
作者:
MARC R. REINGANUM,
期刊:
The Journal of Finance
(WILEY Available online 1982)
卷期:
Volume 37,
issue 1
页码: 27-35
ISSN:0022-1082
年代: 1982
DOI:10.1111/j.1540-6261.1982.tb01093.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTEmpirical research indicates that small firms earn higher average rates of return than large firms, even after accounting for beta risk. Roll conjectured that the small firm effect might be attributed to improper estimation of security betas. The evidence shows that while the direction of the bias in beta estimation is consistent with Roll's conjecture, the magnitude of the bias appears to be too small to explain the firm size effect.
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