ePrints

The anomaly of size: Does it really matter?

Lookup NU author(s): Professor Ian Dobbs

Downloads

Full text for this publication is not currently held within this repository. Alternative links are provided below where available.

Abstract

Recent work on the 'size effect' suggests that size-related regularities in asset prices (such as size, leverage, book to market equity, etc.) should not be regarded as anomalies. This paper first clarifies the argument (by showing why the OLS cross-section regression incorporating size-related variables is necessarily misspecified) and follows this by assessing the likely quantitative magnitude of this type of bias in a simulation study calibrated on US data. Copyright © 1999 John Wiley & Sons, Ltd.

Publication metadata

Author(s): Dobbs IM

Publication type: Article

Publication status: Published

Journal: International Journal of Finance and Economics

Year: 1999

Volume: 4

Issue: 2

Pages: 179-192

Print publication date: 01/01/1999

ISSN (print): 1076-9307

ISSN (electronic): 1099-1158

Publisher: John

URL: http://dx.doi.org/10.1002/(SICI)1099-1158(199904)4:2<179::AID-IJFE97>3.0.CO;2-#

DOI: 10.1002/(SICI)1099-1158(199904)4:2<179::AID-IJFE97>3.0.CO;2-#

Altmetrics

Share