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]
Collections | ANU Research Publications |
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Date published: | 2011 |
Type: | Conference paper |
URI: | http://hdl.handle.net/1885/25029 |
Source: | Proceedings of MODSIM 2011 International Congress on Modelling and Simulation |
Access Rights: | Open Access |
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File | Description | Size | Format | Image |
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01_Ho_Assessing_the_dynamic_2011.pdf | 198.83 kB | Adobe PDF | ||
02_Ho_Assessing_the_dynamic_2011.pdf | 180.62 kB | Adobe PDF |
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