ON COMPUTING MEAN RETURNS AND THE SMALL FIRM PREMIUM

被引：126

作者：

ROLL, R

机构：

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1983年 / 12卷 / 03期

关键词：

D O I：

10.1016/0304-405X(83)90055-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：371 / 386

页数：16

相关论文

共 19 条

[1] RISK-RETURN RELATIONSHIP AND STOCK-PRICES [J].

BACHRACH, B ;

GALAI, D .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1979, 14 (02) :421-441

[2] THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J].

BANZ, RW .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) :3-18

[3] CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J].

BLACK, F .

JOURNAL OF BUSINESS, 1972, 45 (03) :444-455

[4] PRICE, BETA, AND EXCHANGE LISTING [J].

BLUME, ME ;

HUSIC, F .

JOURNAL OF FINANCE, 1973, 28 (02) :283-299

[5] BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT [J].

BLUME, ME ;

STAMBAUGH, RF .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) :387-404

[6] UNBIASED ESTIMATORS OF LONG-RUN EXPECTED RATES OF RETURN [J].

BLUME, ME .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1974, 69 (347) :634-638

[7] STATISTICAL BIASES AND SECURITY RATES OF RETURN [J].

CHENG, PL ;

DEETS, MK .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1971, 6 (03) :977-994

[8]

COHEN KJ, 1979, TIMS STUDIES MANAGEM, V11, P151

[9] RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].

DIMSON, E .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226

[10] SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY - FURTHER EMPIRICAL-EVIDENCE [J].

KEIM, DB .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (01) :13-32