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Assessing the dynamic relationship between small and large cap stock prices

Ho, Kin-Yip; Ernst, B D; Zhang, Z Y

Description

The historical long-run return on small capitalization stocks has unquestionably outperformed large capitalization stocks since 1926. The phenomenon of small capitalization stocks having higher riskadjusted returns compared with large capitalization stocks is an equity market anomaly first discovered in 1981. Since then, many academics and investors have strongly argued that "size is dead". This paper argues that far from being dead, the phenomenon of size effect appears alive and well and it...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Conference paper
URI: http://hdl.handle.net/1885/25029
Source: Proceedings of MODSIM 2011 International Congress on Modelling and Simulation

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